Document and Entity Information
Document and Entity Information - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Feb. 29, 2016 | Jun. 30, 2015 | |
Entity Information [Line Items] | |||
Entity Registrant Name | Federal Home Loan Bank of Pittsburgh | ||
Entity Central Index Key | 1,330,399 | ||
Current Fiscal Year End Date | --12-31 | ||
Entity Filer Category | Non-accelerated Filer | ||
Document Type | 10-K | ||
Document Period End Date | Dec. 31, 2015 | ||
Document Fiscal Year Focus | 2,015 | ||
Document Fiscal Period Focus | FY | ||
Amendment Flag | false | ||
Entity Common Stock, Shares Outstanding | 34,294,094 | ||
Entity Well-known Seasoned Issuer | No | ||
Entity Voluntary Filers | No | ||
Entity Current Reporting Status | Yes | ||
Entity Public Float | $ 0 |
Statements of Income
Statements of Income - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Interest income: | |||
Advances | $ 345,957 | $ 255,863 | $ 227,681 |
Prepayment fees on advances, net | 3,599 | 16,956 | 2,306 |
Interest-bearing deposits | 348 | 351 | 464 |
Securities purchased under agreements to resell | 965 | 73 | 1,037 |
Federal funds sold | 7,230 | 3,856 | 4,251 |
Trading securities | 9,784 | 7,663 | 1,274 |
Available-for-sale (AFS) securities | 145,430 | 137,623 | 121,209 |
Held-to-maturity (HTM) securities | 61,826 | 74,304 | 96,651 |
Mortgage loans held for portfolio | 120,433 | 129,399 | 141,699 |
Total interest income | 695,572 | 626,088 | 596,572 |
Interest expense: | |||
Consolidated obligations - discount notes | 54,126 | 24,201 | 18,461 |
Consolidated obligations - bonds | 323,191 | 318,371 | 381,313 |
Mandatorily redeemable capital stock | 145 | 165 | 1,326 |
Deposits | 274 | 220 | 321 |
Other borrowings | 20 | 29 | 16 |
Total interest expense | 377,756 | 342,986 | 401,437 |
Net interest income | 317,816 | 283,102 | 195,135 |
Provision (benefit) for credit losses | (167) | (4,129) | (1,849) |
Net interest income after provision (benefit) for credit losses | 317,983 | 287,231 | 196,984 |
Other noninterest income (loss): | |||
Total OTTI losses (Note 7) | (3,005) | 0 | 0 |
OTTI losses reclassified to (from) AOCI (Note 7) | 1,156 | 0 | (442) |
Net OTTI losses, credit portion (Note 7) | (1,849) | 0 | (442) |
Net gains (losses) on trading securities (Note 4) | 1,598 | 22,408 | (4,594) |
Net gains (losses) on derivatives and hedging activities (Note 11) | 3,380 | (37,500) | 30,251 |
Net gains on extinguishment of debt (Note 14) | 0 | 0 | 9,665 |
Gains on litigation settlements, net | 15,263 | 70,896 | 1,482 |
Standby letters of credit fees | 23,655 | 17,383 | 9,083 |
Other, net | 2,440 | 2,480 | 2,056 |
Total other noninterest income | 44,487 | 75,667 | 47,501 |
Other expense: | |||
Compensation and benefits | 43,146 | 43,098 | 44,689 |
Other operating | 24,191 | 27,228 | 27,634 |
Finance Agency | 5,364 | 4,592 | 4,005 |
Office of Finance | 4,720 | 3,772 | 3,704 |
Total other expense | 77,421 | 78,690 | 80,032 |
Income before assessments | 285,049 | 284,208 | 164,453 |
Affordable Housing Program (AHP) assessment (Note 15) | 28,519 | 28,437 | 16,578 |
Net income | $ 256,530 | $ 255,771 | $ 147,875 |
Weighted avg shares outstanding (excludes mandatorily redeemable capital stock) | 31,900 | 28,767 | 27,395 |
Basic and diluted earnings per share | $ 8.04 | $ 8.89 | $ 5.40 |
Dividends per share | $ 6.67 | $ 3.61 | $ 0.78 |
Statements of Comprehensive Inc
Statements of Comprehensive Income - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Net income | $ 256,530 | $ 255,771 | $ 147,875 |
Net unrealized gains (losses) on AFS securities: | |||
Unrealized gains (losses) | (23,712) | 64,941 | (67,912) |
Reclassification of realized losses included in net income | 0 | 0 | 41 |
Total net unrealized gains (losses) on AFS | (23,712) | 64,941 | (67,871) |
Net non-credit portion of OTTI losses on AFS securities: | |||
Non-credit portion of OTTI losses transferred from HTM securities | (1,665) | 0 | 0 |
Net Change in Fair Value of OTTI Securities | (20,325) | 16,809 | 58,201 |
Net amount of impairment losses reclassified to non-interest income | 509 | 0 | 442 |
Total net non-credit portion of OTTI gains (losses) on AFS securities | (21,481) | 16,809 | 58,643 |
Net non-credit portion of OTTI losses on HTM securities: | |||
Non-credit portion | (1,665) | 0 | 0 |
Transfer of non-credit portion from HTM to AFS securities | 1,665 | 0 | 0 |
Total net non-credit portion of OTTI losses on HTM securities | 0 | 0 | 0 |
Reclassification of net losses (gains) included in net income relating to hedging activities | (25) | (15) | 1 |
Pension and post-retirement benefits | 1,468 | (1,642) | (138) |
Total other comprehensive income (loss) | (43,750) | 80,093 | (9,365) |
Total comprehensive income | $ 212,780 | $ 335,864 | $ 138,510 |
Statements of Condition
Statements of Condition - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Assets | ||
Cash and due from banks (Note 3) | $ 2,376,964 | $ 2,451,131 |
Interest-bearing deposits | 6,075 | 6,782 |
Federal funds sold | 3,980,000 | 4,585,000 |
Securities purchased under agreements to resell | 1,000,000 | 0 |
Investment securities: | ||
Trading securities (Note 4) | 394,737 | 281,016 |
AFS securities, at fair value (Note 5) | 8,099,894 | 8,408,835 |
HTM securities; fair value of $2,684,071 and $3,286,547, respectively (Note 6) | 2,663,304 | 3,246,788 |
Total investment securities | 11,157,935 | 11,936,639 |
Advances, net (Note 8) | 74,504,776 | 63,408,355 |
Mortgage loans held for portfolio (Note 9), net of allowance for credit losses of $5,665 and $7,260 respectively (Note 10) | 3,086,855 | 3,123,334 |
Banking on Business (BOB) loans, net of allowance for credit losses of $2,052 and $1,840, respectively (Note 10) | 11,276 | 11,567 |
Accrued interest receivable | 107,345 | 86,109 |
Premises, software and equipment, net (Note 12) | 10,687 | 10,446 |
Derivative assets (Note 11) | 65,855 | 36,217 |
Other assets | 28,515 | 21,496 |
Total assets | 96,336,283 | 85,677,076 |
Deposits: (Note 13) | ||
Interest-bearing | 635,468 | 601,454 |
Noninterest-bearing | 50,469 | 39,726 |
Total deposits | 685,937 | 641,180 |
Consolidated obligations, net: (Note 14) | ||
Discount Notes | 42,276,815 | 37,058,118 |
Bonds | 48,605,982 | 43,714,510 |
Total consolidated obligations, net | 90,882,797 | 80,772,628 |
Mandatorily redeemable capital stock ( Note 16) | 6,053 | 586 |
Accrued interest payable | 92,765 | 103,151 |
AHP payable (Note 15) | 70,907 | 55,997 |
Derivative liabilities ( Note 11) | 42,508 | 58,964 |
Other Liabilities | 53,715 | 41,614 |
Total liabilities | $ 91,834,682 | $ 81,674,120 |
Commitments and contingencies (Note 20) | ||
Capital (Note 16) | ||
Capital stock - putable ($100 par value) issued and outstanding 35,396 and 30,410 shares | $ 3,539,648 | $ 3,040,976 |
Retained earnings: | ||
Unrestricted | 718,727 | 726,309 |
Restricted | 162,543 | 111,238 |
Total retained earnings | 881,270 | 837,547 |
Accumulated Other Comprehensive Income (AOCI) | 80,683 | 124,433 |
Total capital | 4,501,601 | 4,002,956 |
Total liabilities and capital | $ 96,336,283 | $ 85,677,076 |
Statements of Condition (Parent
Statements of Condition (Parenthetical) - USD ($) shares in Thousands, $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Assets | ||
HTM securities - fair value | $ 2,684,071 | $ 3,286,547 |
Allowance for credit losses on mortgage loans held for portfolio | 5,665 | 7,260 |
Allowance for credit losses on BOB loans | $ 2,052 | $ 1,840 |
Capital | ||
Capital stock, par value | $ 100 | $ 100 |
Capital stock, shares outstanding | 35,396 | 30,410 |
Statements of Cash Flows
Statements of Cash Flows - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
OPERATING ACTIVITIES | |||
Net income | $ 256,530 | $ 255,771 | $ 147,875 |
Adjustments to reconcile net income to net cash provided by operating activities | |||
Depreciation and amortization | (59,674) | (59,788) | (41,724) |
Net change in derivatives and hedging activities | 54,567 | 83,449 | 12,041 |
Net OTTI credit losses | 1,849 | 0 | 442 |
Net gains on extinguishment of debt | 0 | 0 | (9,665) |
Other adjustments | (185) | (4,838) | (1,809) |
Net change in: | |||
Trading securities | (113,721) | (51,717) | 124,292 |
Accrued interest receivable | (21,240) | 9,266 | (2,649) |
Other assets | (1,417) | (903) | (711) |
Accrued interest payable | (10,387) | 5,463 | (16,317) |
Other liabilities | 28,150 | 21,099 | 16,828 |
Net cash provided by operating activities | 134,472 | 257,802 | 228,603 |
Net change in: | |||
Interest-bearing deposits (including $707, $1,013 and $3,640 from other FHLBanks for mortgage loan program) | 58,652 | 131,413 | (151,402) |
Securities purchased under agreements to resell | (1,000,000) | 0 | 2,500,000 |
Federal funds sold | 605,000 | (1,710,000) | 1,720,000 |
AFS securities: | |||
Proceeds (includes $19,909 from sale of AFS securities in 2013) | 3,869,773 | 1,819,780 | 1,959,687 |
Purchases | (3,566,673) | (3,333,306) | (2,801,220) |
HTM Securities | |||
Net change in short-term | 0 | 0 | 400,000 |
Proceeds from long-term maturities | 705,178 | 749,354 | 1,272,264 |
Purchases | (134,336) | 0 | 0 |
Advances | |||
Proceeds | 535,178,961 | 647,779,277 | 263,745,577 |
Made | (546,386,629) | (661,191,580) | (273,786,491) |
Mortgage loans held for portfolio: | |||
Proceeds | 483,923 | 464,995 | 753,311 |
Purchases | (463,969) | (375,214) | (464,699) |
Proceeds from sale of foreclosed assets | 11,050 | 17,748 | 22,417 |
Premises, software and equipment : | |||
Proceeds from sale | 0 | 900 | 0 |
Purchases | (3,961) | (3,923) | (3,043) |
Net cash (used) in investing activities | (10,643,031) | (15,650,556) | (4,833,599) |
Net change in: | |||
Deposits and pass-through reserves | 35,376 | (48,945) | (329,871) |
Net payments for derivative contracts with financing element | (32,218) | (32,699) | (32,272) |
Net proceeds from issuance of consolidated obligations: | |||
Discount notes | 154,729,878 | 131,729,844 | 232,107,226 |
Bonds (includes $65,576 from other FHLBanks during 2014) | 35,225,737 | 26,050,080 | 27,631,175 |
Payments for maturing and retiring consolidated obligations: | |||
Discount notes | (149,530,556) | (122,909,347) | (228,019,303) |
Bonds | (30,285,157) | (20,041,829) | (24,674,356) |
Proceeds from Issuance of capital stock | 3,153,069 | 2,135,063 | 1,664,951 |
Payments for repurchase/redemption of mandatorily redeemable capital stock | (31,162) | (7,876) | (432,224) |
Payments for repurchase/redemption of capital stock | (2,617,768) | (2,047,808) | (1,518,075) |
Cash dividends paid | (212,807) | (103,943) | (21,504) |
Net cash provided by financing activities | 10,434,392 | 14,722,540 | 6,375,747 |
Net (decrease) increase in cash and due from banks | (74,167) | (670,214) | 1,770,751 |
Cash and due from banks at beginning of the period | 2,451,131 | 3,121,345 | 1,350,594 |
Cash and due from banks at end of the period | 2,376,964 | 2,451,131 | 3,121,345 |
Supplemental disclosures: | |||
Interest paid | 407,926 | 378,194 | 464,250 |
AHP payments | 13,609 | 8,793 | 4,682 |
Transfers of mortgage loans to real estate owned | 7,704 | 14,257 | 17,167 |
Non-cash transfer of OTTI HTM securities to AFS | $ 10,286 | $ 0 | $ 0 |
Statements of Cash Flows (Paren
Statements of Cash Flows (Parenthetical) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Statement of Cash Flows [Abstract] | |||
Interest-bearing deposits from other FHLBanks for mortgage loan program | $ 707 | $ 1,013 | $ 3,640 |
Proceeds from sale of AFS securities | $ 0 | 0 | $ 19,909 |
Proceeds from Bonds Transferred from Other Federal Home Loan Banks | $ 65,576 |
Statements of Changes in Capita
Statements of Changes in Capital - USD ($) shares in Thousands, $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | $ 4,002,956 | $ 3,692,202 | $ 3,428,945 |
Issuance of Capital Stock | 3,153,069 | 2,135,063 | 1,664,951 |
Repurchase/redemption of capital stock | (2,617,768) | (2,047,808) | (1,518,075) |
Net shares reclassified to mandatorily redeemable capital stock | (36,629) | (8,422) | (698) |
Comprehensive income (loss) | 212,780 | 335,864 | 138,510 |
Cash dividends | (212,807) | (103,943) | (21,431) |
Total capital, ending balance | $ 4,501,601 | $ 4,002,956 | $ 3,692,202 |
Common Stock [Member] | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Balance Shares, Beginning Balance | 30,410 | 29,622 | 28,160 |
Total capital, beginning balance | $ 3,040,976 | $ 2,962,143 | $ 2,815,965 |
Issuance of Capital Stock, Shares | 31,530 | 21,350 | 16,650 |
Issuance of Capital Stock | $ 3,153,069 | $ 2,135,063 | $ 1,664,951 |
Repurchase/redemption of capital stock, shares | (26,178) | (20,478) | (15,181) |
Repurchase/redemption of capital stock | $ (2,617,768) | $ (2,047,808) | $ (1,518,075) |
Net shares reclassified to mandatorily redeemable capital stock, shares | (366) | (84) | (7) |
Net shares reclassified to mandatorily redeemable capital stock | $ (36,629) | $ (8,422) | $ (698) |
Balance Shares, Ending Balance | 35,396 | 30,410 | 29,622 |
Total capital, ending balance | $ 3,539,648 | $ 3,040,976 | $ 2,962,143 |
Retained Earnings, Unrestricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 726,309 | 625,636 | 528,767 |
Comprehensive income (loss) | 205,225 | 204,616 | 118,300 |
Cash dividends | (212,807) | (103,943) | (21,431) |
Total capital, ending balance | 718,727 | 726,309 | 625,636 |
Retained Earnings, Restricted | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 111,238 | 60,083 | 30,508 |
Comprehensive income (loss) | 51,305 | 51,155 | 29,575 |
Total capital, ending balance | 162,543 | 111,238 | 60,083 |
Retained Earnings, Total | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 837,547 | 685,719 | 559,275 |
Comprehensive income (loss) | 256,530 | 255,771 | 147,875 |
Cash dividends | (212,807) | (103,943) | (21,431) |
Total capital, ending balance | 881,270 | 837,547 | 685,719 |
Accumulated Other Comprehensive Income (Loss) | |||
Increase (Decrease) in Stockholders' Equity [Roll Forward] | |||
Total capital, beginning balance | 124,433 | 44,340 | 53,705 |
Comprehensive income (loss) | (43,750) | 80,093 | (9,365) |
Total capital, ending balance | $ 80,683 | $ 124,433 | $ 44,340 |
Background Information
Background Information | 12 Months Ended |
Dec. 31, 2015 | |
Nature of Operations [Abstract] | |
Background Information | Background Information The Bank, a federally chartered corporation, is one of 11 district FHLBanks. The FHLBanks are government-sponsored enterprises (GSEs) that serve the public by increasing the availability of credit for residential mortgages and community development. The Bank provides a readily available, low-cost source of funds to its member institutions. The Bank is a cooperative, which means that current members own nearly all of the outstanding capital stock of the Bank. All holders of the Bank’s capital stock may, to the extent declared by the Board, receive dividends on their capital stock. Regulated financial depositories and insurance companies engaged in residential housing finance that maintain their principal place of business (as defined by Finance Agency regulation) in Delaware, Pennsylvania or West Virginia may apply for membership. Community Development Financial Institutions (CDFIs) which meet membership regulation standards are also eligible to become Bank members. State and local housing associates that meet certain statutory and regulatory criteria may also borrow from the Bank. While eligible to borrow, state and local housing associates are not members of the Bank and, as such, are not required to hold capital stock. All members must purchase stock in the Bank. The amount of capital stock a member owns is based on membership requirements (membership asset value) and activity requirements (i.e., outstanding advances, letters of credit, and the principal balance of certain residential mortgage loans sold to the Bank). The Bank considers those members with capital stock outstanding in excess of 10% of total capital stock outstanding to be related parties. See Note 18 - Transactions with Related Parties for additional information. The Federal Housing Finance Agency (Finance Agency) is the independent regulator of the FHLBanks. The mission of the Finance Agency is to ensure the FHLBanks operate in a safe and sound manner so they serve as a reliable source of liquidity and funding for housing finance and community investment. Each FHLBank operates as a separate entity with its own management, employees and board of directors. The Bank does not consolidate any off-balance sheet special-purpose entities or other conduits. As provided by the Federal Home Loan Bank Act (FHLBank Act), or Finance Agency regulation, the Bank’s debt instruments, referred to as consolidated obligations, are the joint and several obligations of all the FHLBanks and are the primary source of funds for the FHLBanks. These funds are primarily used to provide advances, purchase mortgages from members through the Mortgage Partnership Finance (MPF) Program and purchase certain investments. See Note 14 - Consolidated Obligations for additional information. The Office of Finance (OF) is a joint office of the FHLBanks established to facilitate the issuance and servicing of the consolidated obligations of the FHLBanks and to prepare the combined quarterly and annual financial reports of all 11 FHLBanks. Deposits, other borrowings, and capital stock issued to members provide other funds. The Bank primarily invests these funds in short-term investments to provide liquidity. The Bank also provides member institutions with correspondent services, such as wire transfer, safekeeping and settlement. |
Significant Accounting Policies
Significant Accounting Policies | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Significant Accounting Policies | Summary of Significant Accounting Policies Basis of Presentation Cash Flows. In the Statement of Cash Flows, the Bank considers cash and due from banks as cash and cash equivalents. Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these estimates include the fair value of derivatives and certain investment securities that are reported at fair value in the Statement of Condition, determination of other-than-temporary impairments of certain mortgage-backed securities, and the determination of the Allowance for Credit Losses. Actual results could differ from these estimates significantly. Fair Value. The fair value amounts, recorded on the Statement of Condition and in the note disclosures for the periods presented, have been determined by the Bank using available market and other pertinent information, and reflect the Bank’s best judgment of appropriate valuation methods. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. See Note 19 - Estimated Fair Values for more information. Significant Accounting Policies Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, the Bank has elected to offset its asset and liability positions, as well as cash collateral received or pledged, when it has met the netting requirements. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay between the time an exposure change is identified and the time excess collateral is returned. For derivative instruments that meet the requirements for netting, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 11 - Derivatives and Hedging Activities for additional information. Interest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell. These investments provide short-term liquidity and are carried at cost. Interest-bearing deposits include certificates of deposit and bank notes not meeting the definition of a security. Federal funds sold consist of short-term, unsecured loans made to investment-grade counterparties. The Bank records securities purchased under agreements to resell as short-term collateralized loans to a third party which are classified as assets in the Statement of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. Should the market value of the underlying securities decrease below the market value required as collateral, the counterparty has the option to provide additional collateral equivalent to the amount of the shortfall by (1) placing an equivalent amount of additional securities in safekeeping in the name of the Bank or (2) remitting an equivalent amount of cash; otherwise, the dollar value of the resale agreement will be decreased accordingly. Investment Securities. The Bank classifies investment securities as trading, AFS and HTM at the date of acquisition. and sales of securities are recorded on a trade date basis. Trading. Securities classified as trading are carried at fair value. The Bank records changes in the fair value of these investments through noninterest income as “Net gains (losses) on trading securities.” Available-for-Sale (AFS). Securities that are not classified as HTM or trading are classified as AFS and are carried at fair value. The Bank records changes in the fair value of these securities in AOCI as “Net unrealized gains (losses) on AFS securities.” However, for AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in value related to the risk being hedged in noninterest income as “Net gains (losses) on derivatives and hedging activities” together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gains (losses) on AFS securities.” Held-to-Maturity (HTM). Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, representing the amount at which an investment is acquired adjusted for periodic principal repayments, amortization of premiums and accretion of discounts. Certain changes in circumstances may cause the Bank to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity. Thus, the sale or transfer of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, a sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: (1) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) the sale of a security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. Premiums and Discounts. The Bank amortizes purchased premiums and accretes purchased discounts on investment securities using the contractual level-yield method (contractual method). The contractual method recognizes the income effects of premiums and discounts over the contractual life of the securities based on the actual behavior of the underlying assets, including adjustments for actual prepayment activities, and reflects the contractual terms of the securities without regard to changes in estimated prepayments based on assumptions about future borrower behavior. Gains and Losses on Sales. The Bank computes gains and losses on sales of its investment securities using the specific identification method and includes these gains and losses in other noninterest income. Investment Securities - OTTI. The Bank evaluates its individual AFS and HTM securities in unrealized loss positions for OTTI quarterly. A security is considered impaired when its fair value is less than its amortized cost basis. In those cases, the Bank considers an OTTI to have occurred under any of the following conditions: • it has an intent to sell the impaired debt security; • if, based on available evidence, it believes it is more likely than not that it will be required to sell the impaired debt security before the recovery of its amortized cost basis; or • it does not expect to recover the entire amortized cost basis of the impaired debt security. Recognition of OTTI. If either of the first two conditions above is met, the Bank recognizes an OTTI charge in earnings equal to the entire difference between the security’s amortized cost basis and its fair value as of the Statement of Condition date. For securities in an unrealized loss position that do not meet either of these conditions, the security is evaluated to determine the extent and amount of credit loss. To determine whether a credit loss exists, the Bank performs an analysis, which includes a cash flow test for private label mortgage-backed securities (MBS), to determine if it will recover the entire amortized cost basis of each of these securities. The present value of the cash flows expected to be collected is compared to the amortized cost basis of the debt security. If there is a credit loss (the difference between the present value of the cash flows expected to be collected and the amortized cost basis of the debt security), the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) is recognized in earnings, while the amount related to all other factors (i.e., the non-credit component) is recognized in AOCI, which is a component of capital. The credit loss on a debt security is limited to the amount of that security’s unrealized losses. The total OTTI is presented in the Statement of Income with an offset for the amount of the non-credit portion of OTTI that is recognized in AOCI. The remaining amount in the Statement of Income represents the credit loss for the period. Accounting for OTTI Recognized in AOCI. For subsequent accounting of an other-than-temporarily impaired security, the Bank records an additional OTTI if the present value of cash flows expected to be collected is less than the amortized cost of the security. The total amount of this additional OTTI (both credit and non-credit component, if any) is determined as the difference between the security’s amortized cost less the amount of OTTI recognized in AOCI prior to the determination of this additional OTTI and its fair value. Any additional credit loss is limited to that security’s unrealized losses, or the difference between the security’s amortized cost and its fair value, as of the Statement of Condition date. This additional credit loss, up to the amount in AOCI related to the security, is reclassified out of AOCI and charged to earnings. Any credit loss in excess of the related AOCI is charged to earnings. Subsequent related increases and decreases (if not an additional OTTI) in the fair value of AFS securities are netted against the non-credit component of OTTI recognized previously in AOCI. For debt securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value. Interest Income Recognition. When a debt security has been other-than-temporarily impaired, a new accretable yield is calculated for that security at its impairment measurement date. This adjusted yield is used to calculate the interest income recognized over the remaining life of that security, matching the amount and timing of its estimated future collectible cash flows. Subsequent to that security’s initial OTTI, the Bank re-evaluates estimated future collectible cash flows on a quarterly basis. If the security has no additional OTTI based on this evaluation, the accretable yield is reassessed for possible upward adjustment on a prospective basis. The accretable yield is adjusted if there is a significant increase in the security’s expected cash flows. Variable Interest Entities (VIEs). The Bank has investments in VIEs that include, but are not limited to, senior interests in private label MBS. The carrying amounts and classification of the assets that relate to the Bank’s investments in VIEs are included in investment securities on the Statement of Condition. The Bank has no liabilities related to these VIEs. The maximum loss exposure for these VIEs is limited to the amortized cost of the Bank’s investments in the VIEs. If the Bank determines it is the primary beneficiary of a VIE, it would be required to consolidate that VIE. The Bank performs a quarterly evaluation to determine whether it is the primary beneficiary of any VIEs. To perform this evaluation, the Bank considers whether it has both: • the power to direct the VIE’s activities that most significantly impact the VIEs’ economic performance; and • the obligation to absorb the VIE’s losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. Based on an evaluation of the above characteristics, the Bank has determined that consolidation is not required for its VIEs for the periods presented. The Bank typically does not have the power to direct the VIEs’ activities that most significantly impact the VIEs’ economic performance. In addition, the Bank has not provided financial or other support to any (explicitly or implicitly) during the periods presented. Furthermore, the Bank was not previously contractually required to provide, nor does it intend to provide, such support in the future. Advances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost net of premiums and discounts (including discounts related to AHP and hedging adjustments). The Bank amortizes/accretes premiums and discounts and recognizes hedging adjustments to interest income using a contractual methodology. The Bank records interest on advances to interest income as earned. Commitment Fees. The Bank records fees for standby letters of credit as a deferred credit when the Bank receives the fee and accretes them using the straight-line method over the term of the standby letter of credit. Advance Modifications. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of cash flows on the new advance to the present value of cash flows remaining on the existing advance. If there is at least a 10% difference in the cash flows or if the Bank concludes the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance’s original contractual terms, then the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. Prepayment Fees. The Bank charges a borrower a prepayment fee when the borrower prepays certain advances before the original maturity. The Bank records prepayment fees net of adjustments related to hedging activities as “Prepayment fees on advances, net” in the interest income section of the Statement of Income. In the event that a new advance is issued in connection with a prepayment of an outstanding advance but the new advance does not qualify as a modification of an existing advance, any prepayment fee, net of hedging activities, is recorded in “Prepayment fees on advances, net.” If a new advance qualifies as a modification of an existing advance, any prepayment fee, net of hedging activities, is deferred and amortized using a level-yield methodology over the life of the modified advance to advance interest income. Mortgage Loans Held for Portfolio. The Bank participates in the MPF Program under which the Bank invests in residential mortgage loans, which are purchased from members that are Participating Financial Institutions (PFIs). The Bank manages the liquidity, interest-rate risk (including prepayment risk) and optionality of the loans, while the PFI may retain the marketing and servicing activities. The Bank and the PFI share in the credit risk of the conventional loans with the Bank assuming the first loss obligation limited by the First Loss Account (FLA), while the PFI assumes credit losses in excess of the FLA, referred to as Credit Enhancement (CE) obligation, up to the amount of the CE obligation as specified in the master commitment. The Bank assumes losses in excess of the CE obligation. The Bank classifies mortgage loans that it has the intent and ability to hold for the foreseeable future as held for portfolio. Accordingly, these mortgage loans are reported net of premiums, discounts, deferred loan fees or costs, hedging adjustments, charge-offs, and the allowance for credit losses. Premiums and Discounts. The Bank defers and amortizes/accretes mortgage loan premiums and discounts paid to and received from the Bank’s PFIs, deferred loan fees or costs, and hedging basis adjustments to interest income using the contractual method. CE Fees. For conventional mortgage loans, PFIs retain a portion of the credit risk on the loans they sell to the Bank by providing CE either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide Supplemental Mortgage Insurance (SMI). PFIs are paid a CE fee for assuming credit risk, and in some instances all or a portion of the CE fee may be performance-based. CE fees are paid monthly based on the remaining unpaid principal balance of the loans in a master commitment. CE fees are recorded as an offset to mortgage loan interest income. To the extent the Bank experiences losses in a master commitment, it may be able to recapture CE fees paid to the PFIs to offset these losses. Other Fees. The Bank may receive other non-origination fees, such as delivery commitment extension fees, pair-off fees and price adjustment fees. Delivery commitment extension fees are received when a PFI requests an extension of the delivery commitment period beyond the original stated maturity. These fees compensate the Bank for lost interest as a result of late funding and are recorded as part of the mark-to-market of the delivery commitment derivatives, and as such, eventually become basis adjustments to the mortgage loans funded as part of the delivery commitment. Pair-off fees represent a make-whole provision and are received when the amount funded is less than a specific percentage of the delivery commitment amount and are recorded in noninterest income. Price adjustment fees are received when the amount funded is greater than a specified percentage of the delivery commitment amount and represent purchase price adjustments to the related loans acquired and are recorded as a part of the loan basis. BOB Loans. The Bank’s BOB loan program to members is targeted to small businesses in the Bank’s district of Delaware, Pennsylvania and West Virginia. The program’s objective is to assist in the growth and development of small business, including both the start-up and expansion of these businesses. The Bank makes funds available to members to extend credit to approved small business borrowers, enabling small businesses to qualify for credit that would otherwise not be available. The intent of the BOB program is for it to serve as a grant program to members to help facilitate community economic development; however, repayment provisions within the program require that the BOB program be accounted for as an unsecured loan program. Therefore, the accounting for the program follows the provisions of loan accounting whereby an asset (loan receivable) is recorded for disbursements to members and an allowance for credit losses is estimated and established through provision for credit losses. As the members collect directly from the borrowers, the members remit repayment of the loans to the Bank as stated in the agreements. If the business is unable to repay the loan, it may be forgiven at the member’s request, subject to the Bank’s approval, at which time the BOB loan is charged off. The Bank places a BOB loan that is delinquent or deferred on non-accrual status and ceases to accrue interest income, and accrued but uncollected interest is reversed. At times, the Bank permits a borrower to defer payment of principal and interest for up to one year. A BOB loan may be restored to accrual when none of its contractual principal and interest due are unpaid. Allowance for Credit Losses. Establishing Allowance for Credit Loss. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank’s portfolio as of the Statement of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. Portfolio Segments . A portfolio segment is defined as the level at which an entity develops and documents a systematic methodology for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses, where applicable, for: (1) advances, letters of credit and other extensions of credit to members, collectively referred to as credit products; (2) government-guaranteed or insured mortgage loans held for portfolio; (3) conventional MPF loans held for portfolio; and (4) BOB loans. Classes of Financing Receivables . Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent that disaggregation is needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments is needed as the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level. Nonaccrual Loans . The Bank places a conventional mortgage loan on nonaccrual status if it is determined that either (1) the collection of interest or principal is doubtful or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured (e.g., through CE) and in the process of collection. For those mortgage loans placed on nonaccrual status, accrued but uncollected interest is charged against interest income. The Bank records cash payments received as a reduction of principal because the collection of the remaining principal amount due is considered doubtful and cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal or (2) it otherwise becomes well secured and in the process of collection. Troubled Debt Restructuring. The Bank considers a troubled debt restructuring to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been considered otherwise, such as a loan modification. Loans that are discharged in Chapter 7 bankruptcy and have not been reaffirmed by the borrowers are also considered to be troubled debt restructurings, except in cases where all contractual amounts due are expected to be collected as a result of government guarantees or insurance. Impairment Methodology . A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Loans that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. The Bank considers its impaired loans to be collateral-dependent. Collateral-dependent loans are impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as non-accrual loans. Charge-off Policy . A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure, notification of a claim against any of the CE, a loan that is 180 or more days delinquent, or certain loans for which the borrower has filed for bankruptcy. If the loss is expected to be recovered through CE, the Bank recognizes a CE fee receivable for the amount of the loss and assesses it for collectability along with the mortgage loans. The CE fee receivable is recorded in other assets. BOB Loans. See “BOB Loans” in this Note 1 for a description of the allowance for credit losses policies relating to the BOB program. Real Estate Owned (REO). REO includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses or CE fee receivable if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses and carrying costs are included in other noninterest expense in the Statement of Income. REO is recorded in other assets on the Statement of Condition. Derivatives. All derivatives are recognized on the Statement of Condition at their fair values and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to clearing agents and/or counterparties. The fair values of derivatives are netted by clearing agent and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statement of Cash Flows unless the derivative meets the criteria to be a financing derivative. Derivative Designations. Each derivative is designated as either: • a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or • a non-qualifying hedge (an economic hedge) for asset and liability management purposes. Accounting for Fair Value Hedges . If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship, and are expected to be highly effective, they qualify for fair value accounting and the offsetting changes in fair value of the hedged items may be recorded in earnings. Two approaches that the Bank uses for hedge accounting are: • Long-haul hedge accounting. The application of long-haul hedge accounting requires the Bank to formally assess (both at the hedge’s inception and at least quarterly) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk or forecasted transactions and whether those derivatives may be expected to remain effective in future periods. • Short-cut hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values of the hedged asset or liability. Fair value derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship at the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within normal market settlement conventions. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date. Changes in the fair value of a derivative that is designated and qualifies as a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.” For fair value hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.” Accounting for Economic Hedges. An economic hedge is defined as a derivative hedging specific or non-specific underlying assets, liabilities or firm commitments that does not qualify or was not designated for fair value hedge accounting, but is an acceptable hedging strategy under the Bank’s risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge by definition introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank’s income. As a result, the Bank recognizes the net interest and the change in fair value of these derivatives in other noninterest income as “Net gains (losses) on derivatives and hedging activities” with no offsetting fair value adjustments for the economically hedged assets, liabilities, or firm commitments. Accrued Interest Receivables and Payables. The net settlements of interest receivables and payables related to derivatives designated in fair value hedge relationships are recognized as adjustments to the income or expense of the designated hedged item. Discontinuance of Hedge Accounting. The Bank discontinues hedge accounting prospectively when: (1) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk (including hedged items such as firm commitments ); (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) a hedged firm commitment no longer meets the definition of a firm commitment; or (4) management determines to no longer designate the derivative as a hedging instrument (i.e., de-designation). When hedge accounting is discontinued on a fair value hedge, the Bank either terminates the derivative or continues to carry the derivative on the Statement of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statement of Condition at its fair value, removing from the Statement of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. Embedded Derivatives. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execu |
Accounting Adjustments, Changes
Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Adjustments, Changes In Accounting Principle And Recently Issued Accounting Standards And Interpretations [Abstract] | |
New Accounting Pronouncements and Changes in Accounting Principles | Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention. In April 2012, the Finance Agency issued Advisory Bulletin 2012-02, Framework for Adversely Classifying Loans, Other Real Estate Owned, and Other Assets and Listing Assets for Special Mention (AB 2012-02 or Advisory Bulletin), which is applicable to Fannie Mae, Freddie Mac and the FHLBanks. The Advisory Bulletin establishes guidelines for adverse classification of various assets, primarily MPF loans at the Bank. Among other requirements, this Advisory Bulletin requires that the Bank classify the portion of an outstanding single-family loan balance in excess of the fair value of the underlying property, less costs to sell and adjusted for any CE, as a “loss” no later than when the loan becomes 180 days delinquent, except in certain specified circumstances (such as those involving properly secured loans with an LTV ratio equal to or less than 60%). The Bank implemented these classification provisions effective January 1, 2014. During the first quarter 2014, the Bank incorporated estimates of fair values on loans as applicable under the Advisory Bulletin in its calculation of the required “loss” on MPF loans. This change in the Bank's accounting estimate resulted in an immaterial benefit to the Bank's Allowance for Loan Losses at March 31, 2014. See Note 10 - Allowance for Credit Losses for more information. The Advisory Bulletin also requires the Bank to charge-off the portion of the loan classified as a “loss.” The Advisory Bulletin specifies that, if the Bank subsequently receives full or partial payment of a previously charged-off loan, it may report a recovery of the amount charged-off either through loss reserves or as a reduction in foreclosed property expenses. As required, the Bank adopted the charge-off provisions of the Advisory Bulletin on January 1, 2015. Upon adoption of the charge-off provisions, the Bank’s allowance for loan losses on the impacted loans was eliminated and the corresponding recorded investment in the loans was reduced by the amount charged-off, unless it is expected to be recovered through CE, for which the Bank recognizes a CE fee receivable. The amount of losses realized on the Bank's loan portfolio will ultimately be the same under the Advisory Bulletin as under the Bank's past accounting practices. However, the timing of when the Bank recognizes those losses in its financial statements will differ. The adoption of the charge-off provisions of the Advisory Bulletin did not have a material impact on the Bank’s financial condition or results of operations. Revenue from Contracts with Customers. In May 2014, the FASB issued revised guidance for revenue recognition. This guidance will increase comparability across industries by providing a single, comprehensive revenue recognition model for all contracts with customers. The guidance will require recognition of revenue to reflect the economics of the transaction and will require expanded disclosures regarding revenue recognition. This guidance, which will be effective for the Bank beginning January 1, 2017, is not expected to materially impact the Bank's financial condition or results of operations. Going Concern . In August 2014, the FASB issued guidance which requires all entities to perform an interim and annual assessment of their ability to continue as a going concern for one year from the date of issuance of their respective financial statements. The guidance also requires disclosures if there is “substantial doubt” of the entity’s ability to continue as a going concern. The Bank's initial quarterly assessment will be required to be completed on its December 31, 2016 financial statements. Extraordinary Items. In January 2015, the FASB issued guidance which eliminates the concept of extraordinary items. As a result, preparers and auditors no longer need to determine whether an event is extraordinary. However, the guidance continues to require separate presentation on the Statement of Income for items that are both unusual and infrequent. This guidance was effective for the Bank beginning January 1, 2016 and did not impact the Bank’s results of operations. Consolidation. In February 2015, the FASB issued amendments to its existing consolidation guidance which may impact the Bank’s evaluation of which entities are considered to be Variable Interest Entities (VIEs) and if the Bank is required to consolidate a VIE. This guidance was effective for the Bank beginning January 1, 2016 and did not impact the Bank's financial condition. Simplifying the Presentation of Debt Issuance Costs. In April 2015, the FASB issued guidance which requires the Bank to present debt issuance costs as a direct deduction from the related debt on the statement of condition, consistent with debt discounts. This guidance was effective for the Bank beginning January 1, 2016 and will be applied retrospectively. This guidance will result in an immaterial reclassification of debt issuance costs from Other Assets to Consolidated Obligations in the Bank's first quarter 2016 Statement of Condition. Cloud Computing Arrangements. In April 2015, the FASB issued guidance which clarifies circumstances under which a cloud computing arrangement should be accounted for as a license of internal-use software as opposed to a service contract. This guidance, which was effective for the Bank beginning January 1, 2016, did not impact the Bank's financial condition or results of operations. Recognition and Measurement of Financial Assets and Liabilities. In January 2016, the FASB issued guidance which amends existing guidance on the classification and measurement of financial instruments. Although many of the existing requirements are not changed, this guidance revises the accounting for equity securities, financial liabilities measured under the fair value option, and certain disclosure requirements for fair value of financial instruments. The Bank is evaluating the impact of this guidance, which will be effective for the Bank beginning January 1, 2018. Leases. In February 2016, the FASB issued guidance which amends the accounting for leases. The guidance will require lessees to recognize a right-of-use asset and lease liability for virtually all leases, other than short-term leases. The Bank is evaluating the impact of this guidance, which will be effective for the Bank beginning January 1, 2019. |
Cash and Due from Banks
Cash and Due from Banks | 12 Months Ended |
Dec. 31, 2015 | |
Cash and Due from Banks [Abstract] | |
Cash and Due from Banks | Cash and Due from Banks The Bank maintains compensating and collected cash balances with commercial banks in return for certain services. These agreements contain no legal restrictions about the withdrawal of funds. The average compensating and collected cash balances for 2015 and 2014 were approximately $298.8 million and $141.6 million , respectively. Pass-through Deposit Reserves. The Bank acts as a pass-through correspondent for member institutions required to deposit reserves with the Federal Reserve Banks (FRBs). The amount shown as cash and due from banks includes pass-through reserves deposited with FRBs of approximately $22.4 million and $26.6 million as of December 31, 2015 and 2014 , respectively. The Bank includes member reserve balances in noninterest-bearing deposits within liabilities on the Statement of Condition. |
Trading Securities
Trading Securities | 12 Months Ended |
Dec. 31, 2015 | |
Trading Securities [Abstract] | |
Trading Securities | Trading Securities The following table presents trading securities as of December 31, 2015 and December 31, 2014 . (in thousands) December 31, December 31, Mutual funds $ 5,442 $ 4,721 GSE and Tennessee Valley Authority (TVA) obligations 389,295 276,295 Total $ 394,737 $ 281,016 The mutual funds are held in a Rabbi trust to generate returns that seek to offset changes in liabilities related to market risk of certain deferred compensation agreements. These deferred compensation liabilities were $5.6 million and $4.9 million at December 31, 2015 and December 31, 2014 , respectively, and are included in Other liabilities in the Statement of Condition. The following table presents net gains (losses) on trading securities for 2015 , 2014 and 2013 . Year ended December 31, (in thousands) 2015 2014 2013 Net unrealized gains (losses) on trading securities held at year-end $ 1,598 $ 22,322 $ (4,559 ) Net realized gains (losses) on securities sold/matured during the year — 86 (35 ) Net gains (losses) on trading securities $ 1,598 $ 22,408 $ (4,594 ) |
Available-for-Sale (AFS) Securi
Available-for-Sale (AFS) Securities | 12 Months Ended |
Dec. 31, 2015 | |
Available-for-sale Securities [Abstract] | |
Available-for-Sale (AFS) Securities | Available-for-Sale (AFS) Securities The following tables present AFS securities as of December 31, 2015 and December 31, 2014 . December 31, 2015 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: Mutual funds $ 1,993 $ — $ 5 $ — $ 1,998 GSE and TVA obligations 3,468,665 — 15,332 (14,792 ) 3,469,205 State or local agency obligations 133,038 — 2,055 (973 ) 134,120 Total non-MBS $ 3,603,696 $ — $ 17,392 $ (15,765 ) $ 3,605,323 MBS: Other U.S. obligations single family MBS $ 268,105 $ — $ 501 $ (70 ) $ 268,536 GSE single-family MBS 2,378,589 — 9,965 (4,924 ) 2,383,630 GSE multifamily MBS 1,008,511 — 5,614 (3,628 ) 1,010,497 Private label MBS: Private label residential MBS 751,703 (889 ) 72,263 (337 ) 822,740 HELOCs 7,572 — 1,596 — 9,168 Total private label MBS 759,275 (889 ) 73,859 (337 ) 831,908 Total MBS $ 4,414,480 $ (889 ) $ 89,939 $ (8,959 ) $ 4,494,571 Total AFS securities $ 8,018,176 $ (889 ) $ 107,331 $ (24,724 ) $ 8,099,894 December 31, 2014 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: Mutual funds $ 1,993 $ — $ 5 $ — $ 1,998 GSE and TVA obligations 3,221,543 — 17,661 (5,501 ) 3,233,703 State or local agency obligations 98,616 — 752 (384 ) 98,984 Total non-MBS $ 3,322,152 $ — $ 18,418 $ (5,885 ) $ 3,334,685 MBS: Other U.S. obligations single family MBS $ 328,787 $ — $ 592 $ — $ 329,379 GSE single-family MBS 2,869,855 — 16,433 (4,126 ) 2,882,162 GSE multifamily MBS 872,509 — 9,511 (2,193 ) 879,827 Private label MBS: Private label residential MBS 879,376 (863 ) 92,860 (290 ) 971,083 HELOCs 9,245 — 2,454 — 11,699 Total private label MBS 888,621 (863 ) 95,314 (290 ) 982,782 Total MBS $ 4,959,772 $ (863 ) $ 121,850 $ (6,609 ) $ 5,074,150 Total AFS securities $ 8,281,924 $ (863 ) $ 140,268 $ (12,494 ) $ 8,408,835 Notes : (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. (2) Represents the non-credit portion of an OTTI recognized during the life of the security. The Bank has established a Rabbi trust to secure a portion of the Bank’s benefit obligation under its supplemental retirement plan. The Rabbi trust assets are invested in mutual funds. These obligations were $6.7 million and $7.0 million at December 31, 2015 and December 31, 2014 , respectively and are included in Other liabilities in the Statements of Condition. As of December 31, 2015 , the amortized cost of the Bank’s MBS classified as AFS included net purchased discounts of $9.7 million , credit losses of $205.9 million and OTTI-related accretion adjustments of $31.5 million . As of December 31, 2014 , these amounts were $9.5 million , $222.5 million , and $11.7 million , respectively. The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of December 31, 2015 and 2014 . (in thousands) December 31, 2015 December 31, 2014 Non-credit portion of OTTI losses $ (889 ) $ (863 ) Net unrealized gains on OTTI securities since their last OTTI credit charge 73,859 95,314 Net non-credit portion of OTTI gains on AFS securities in AOCI $ 72,970 $ 94,451 The following tables summarize the AFS securities with unrealized losses as of December 31, 2015 and December 31, 2014 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2015 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses (1) Non-MBS: GSE and TVA obligations $ 2,396,493 $ (12,937 ) $ 184,772 $ (1,855 ) $ 2,581,265 $ (14,792 ) State or local agency obligations 41,727 (863 ) 3,890 (110 ) 45,617 (973 ) Total non-MBS $ 2,438,220 $ (13,800 ) $ 188,662 $ (1,965 ) $ 2,626,882 $ (15,765 ) MBS: Other U.S. obligations single-family MBS $ 70,490 $ (48 ) $ 11,984 $ (22 ) $ 82,474 $ (70 ) GSE single-family MBS 465,658 (761 ) 114,028 (4,163 ) 579,686 (4,924 ) GSE multifamily MBS 420,982 (3,628 ) — — 420,982 (3,628 ) Private label residential MBS 65,080 (775 ) 9,332 (451 ) 74,412 (1,226 ) Total MBS $ 1,022,210 $ (5,212 ) $ 135,344 $ (4,636 ) $ 1,157,554 $ (9,848 ) Total $ 3,460,430 $ (19,012 ) $ 324,006 $ (6,601 ) $ 3,784,436 $ (25,613 ) December 31, 2014 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses (1) Non-MBS: GSE and TVA obligations $ 1,783,202 $ (4,380 ) $ 322,691 $ (1,121 ) $ 2,105,893 $ (5,501 ) State or local agency obligations 1,576 (14 ) 11,385 (370 ) 12,961 (384 ) Total non-MBS $ 1,784,778 $ (4,394 ) $ 334,076 $ (1,491 ) $ 2,118,854 $ (5,885 ) MBS: GSE single-family MBS 19,405 (3 ) 228,257 (4,123 ) 247,662 (4,126 ) GSE multifamily MBS 15,322 (104 ) 185,153 (2,089 ) 200,475 (2,193 ) Private label residential MBS 58,553 (191 ) 49,383 (962 ) 107,936 (1,153 ) Total MBS $ 93,280 $ (298 ) $ 462,793 $ (7,174 ) $ 556,073 $ (7,472 ) Total $ 1,878,058 $ (4,692 ) $ 796,869 $ (8,665 ) $ 2,674,927 $ (13,357 ) Note: (1) Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 5. Securities Transferred. The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities from HTM to AFS to increase its flexibility to sell the securities if management determines it is prudent to do so. See Note 1 - Summary of Significant Accounting Policies. The Bank transferred three private label MBS from HTM to AFS during 2015, which is the period in which an OTTI credit loss was recorded on the security. There were no transfers during 2014 and 2013. (in thousands) Amortized Cost OTTI Recognized in OCI Fair Value December 31, 2015 transfer $ 7,556 $ (638 ) $ 6,918 June 30, 2015 transfer 4,394 (1,026 ) 3,368 Total 2015 transfers $ 11,950 $ (1,664 ) $ 10,286 Redemption Terms. The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2015 December 31, 2014 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 28,706 $ 28,688 $ 301,985 $ 302,087 Due after one year through five years 1,925,398 1,919,024 2,058,695 2,054,517 Due after five years through ten years 812,550 825,558 662,805 676,064 Due in more than ten years 837,042 832,053 298,667 302,017 AFS securities excluding MBS 3,603,696 3,605,323 3,322,152 3,334,685 MBS 4,414,480 4,494,571 4,959,772 5,074,150 Total AFS securities $ 8,018,176 $ 8,099,894 $ 8,281,924 $ 8,408,835 Interest Rate Payment Terms. The following table details interest payment terms at December 31, 2015 and December 31, 2014 . (in thousands) December 31, December 31, Amortized cost of AFS securities other than MBS: Fixed-rate $ 3,518,980 $ 2,902,430 Variable-rate 84,716 419,722 Total non-MBS $ 3,603,696 $ 3,322,152 Amortized cost of AFS MBS: Fixed-rate $ 1,593,414 $ 2,002,208 Variable-rate 2,821,066 2,957,564 Total MBS $ 4,414,480 $ 4,959,772 Total amortized cost of AFS securities $ 8,018,176 $ 8,281,924 Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may contain provisions permitting the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is considered to be variable-rate. Realized Gains and Losses on AFS Securities. The following table provides a summary of proceeds and gross losses on sales of AFS securities for 2015 , 2014 and 2013 . The gross losses are included in “Other, net” in the Statement of Income. Year ended December 31, 2015 (in thousands) 2015 2014 2013 Proceeds from sale of AFS securities $ — $ — $ 19,909 Gross losses on sale of AFS securities — — (41 ) |
Held-to-Maturity (HTM) Securiti
Held-to-Maturity (HTM) Securities | 12 Months Ended |
Dec. 31, 2015 | |
Held-to-maturity Securities [Abstract] | |
Held-to-Maturity (HTM) Securities | Held-to-Maturity (HTM) Securities The following tables present HTM securities as of December 31, 2015 and December 31, 2014 . December 31, 2015 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: State or local agency obligations $ 169,520 $ 118 $ (14,484 ) $ 155,154 MBS: Other U.S. obligations single-family MBS $ 819,602 $ 5,651 $ (5 ) $ 825,248 GSE single-family MBS 294,568 4,459 (75 ) 298,952 GSE multifamily MBS 863,122 30,124 (1,394 ) 891,852 Private label residential MBS 516,492 1,717 (5,344 ) 512,865 Total MBS $ 2,493,784 $ 41,951 $ (6,818 ) $ 2,528,917 Total HTM securities $ 2,663,304 $ 42,069 $ (21,302 ) $ 2,684,071 December 31, 2014 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: GSE securities $ 13,041 $ 382 $ — $ 13,423 State or local agency obligations 184,412 1,314 (15,445 ) 170,281 Total non-MBS $ 197,453 $ 1,696 $ (15,445 ) $ 183,704 MBS: Other U.S. obligations single-family MBS $ 1,122,537 $ 8,604 $ — $ 1,131,141 GSE single-family MBS 417,217 7,226 (118 ) 424,325 GSE multifamily MBS 818,037 43,431 — 861,468 Private label residential MBS 691,544 3,506 (9,141 ) 685,909 Total MBS $ 3,049,335 $ 62,767 $ (9,259 ) $ 3,102,843 Total HTM securities $ 3,246,788 $ 64,463 $ (24,704 ) $ 3,286,547 The following tables summarize the HTM securities with unrealized losses as of December 31, 2015 and December 31, 2014 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2015 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ 20,154 $ (1 ) $ 110,737 $ (14,483 ) $ 130,891 $ (14,484 ) MBS: Other U.S. obligations single-family MBS $ 10,237 $ (5 ) $ — $ — $ 10,237 $ (5 ) GSE single-family MBS — — 9,091 (75 ) 9,091 (75 ) GSE multifamily MBS 132,835 (1,394 ) — — 132,835 (1,394 ) Private label residential MBS 110,665 (717 ) 252,851 (4,627 ) 363,516 (5,344 ) Total MBS $ 253,737 $ (2,116 ) $ 261,942 $ (4,702 ) $ 515,679 $ (6,818 ) Total $ 273,891 $ (2,117 ) $ 372,679 $ (19,185 ) $ 646,570 $ (21,302 ) December 31, 2014 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ 3,361 $ (54 ) $ 116,488 $ (15,391 ) $ 119,849 $ (15,445 ) MBS: GSE single-family MBS — — 11,058 (118 ) 11,058 (118 ) Private label residential MBS 185,673 (1,291 ) 233,287 (7,850 ) 418,960 (9,141 ) Total MBS $ 185,673 $ (1,291 ) $ 244,345 $ (7,968 ) $ 430,018 $ (9,259 ) Total $ 189,034 $ (1,345 ) $ 360,833 $ (23,359 ) $ 549,867 $ (24,704 ) Securities Transferred. The Bank transferred three private label MBS from HTM to AFS during 2015 and none during 2014 and 2013. See Note 5 - Available-for-Sale Securities for additional information. Changes in circumstances may cause the Bank to change its intent to hold a certain security to maturity without calling into question its intent to hold other debt securities to maturity in the future. Thus, the transfer or sale of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to transfer or sell an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. Redemption Terms. The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2015 December 31, 2014 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ — $ — $ 13,042 $ 13,423 Due after one year through five years — — 3,415 3,361 Due after five years through ten years 57,490 55,797 21,807 22,263 Due after ten years 112,030 99,357 159,189 144,657 HTM securities excluding MBS 169,520 155,154 197,453 183,704 MBS 2,493,784 2,528,917 3,049,335 3,102,843 Total HTM securities $ 2,663,304 $ 2,684,071 $ 3,246,788 $ 3,286,547 Interest Rate Payment Terms. The following table details interest rate payment terms at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 (in thousands) Amortized cost of HTM securities other than MBS: Fixed-rate $ 28,565 $ 44,453 Variable-rate 140,955 153,000 Total non-MBS $ 169,520 $ 197,453 Amortized cost of HTM MBS: Fixed-rate $ 1,023,636 $ 1,114,059 Variable-rate 1,470,148 1,935,276 Total MBS $ 2,493,784 $ 3,049,335 Total HTM securities $ 2,663,304 $ 3,246,788 Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may contain provisions permitting the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is considered to be variable-rate. |
Other-Than-Temporary Impairment
Other-Than-Temporary Impairment | 12 Months Ended |
Dec. 31, 2015 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Other Than Temporary Impairment | Other-Than-Temporary Impairment The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. To ensure consistency among the FHLBanks, the Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the FHLBanks’ OTTI Governance Committee. The OTTI analysis is a cash flow analysis that is run on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. Private label MBS backed by HELOCs and certain other securities are not able to be cash flow tested using the FHLBanks’ common platform. For these types of private label MBS and certain securities where underlying collateral data is not available, alternate procedures, as prescribed by the FHLBanks’ OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were not significant to the Bank. The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as: • the remaining payment terms for the security; • prepayment speeds and default rates; • loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics; • expected housing price changes; and • interest-rate assumptions. To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label residential MBS to its amortized cost basis. For the Bank’s private label residential MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased. The Bank performed a cash flow analysis using two third-party models to assess whether the amortized cost basis of its private label residential MBS will be recovered. The first third-party model considers borrower characteristics and the particular attributes of the loans underlying an FHLBank's securities, in conjunction with assumptions about future changes in home prices and interest rates, to project prepayments, defaults, and loss severities. A significant input to the projection of cash flows expected to be collected is the forecast of future housing price changes for the relevant states and core-based statistical areas (CBSAs) which are based upon an assessment of the individual housing markets. During the fourth quarter of 2015, the OTTI Governance Committee developed a short-term housing price forecast using whole percentages with changes ranging from (3.0)% to 8.0% over the 12 month period beginning October 1, 2015. For the vast majority of markets the short-term forecast has changes from 2.0% to 5.0% . Thereafter, a unique path is projected for each geographic area based on an internally developed framework derived from historical data. The month-by-month projections of future loan performance derived from the first model, which reflect projected prepayments, defaults, and loss severities, are then input into a second model that allocates the projected loan level cash flows and losses to the various security classes in the securitization structure in accordance with its prescribed cash flow and loss allocation rules. In a securitization in which the credit enhancement for the senior securities is derived from the presence of subordinate securities, losses are generally allocated first to the subordinate securities until their principal balance is reduced to zero. All of the Bank's other-than-temporarily impaired securities were classified as AFS as of December 31, 2015 . The “Total OTTI securities” balances below summarize the Bank’s securities as of December 31, 2015 for which an OTTI has been recognized during the life of the security. The “Private label MBS with no OTTI” balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio. OTTI Recognized During the Life of the Security (in thousands) Unpaid Principal Balance Amortized Cost (1) Fair Value Private label residential MBS: Prime $ 428,561 $ 347,845 $ 385,510 Alt-A 506,768 399,589 433,160 Subprime 1,887 1,109 1,246 HELOCs 10,065 7,572 9,168 Total OTTI securities 947,281 756,115 829,084 Private label MBS with no OTTI 3,160 3,160 2,824 Total AFS private label MBS $ 950,441 $ 759,275 $ 831,908 Notes: (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings. The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for 2015, 2014 and 2013 . (in thousands) 2015 2014 2013 Beginning balance $ 290,935 $ 314,224 $ 326,024 Additions: Credit losses for which OTTI was not previously recognized 1,794 — — Additional OTTI credit losses for which an OTTI charge was previously recognized (1) 55 — 442 Reductions: Securities sold and matured during the period (2) — 292 (59 ) Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (27,405 ) (23,581 ) (12,183 ) Ending balance $ 265,379 $ 290,935 $ 314,224 Notes: (1) For 2015 , 2014 and 2013, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2015, 2014 and 2013, respectively. (2) Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period. All Other AFS and HTM Investments. At December 31, 2015 and 2014 , the Bank held certain securities in an unrealized loss position. These unrealized losses were considered to be temporary as the Bank expects to recover the entire amortized cost basis on the remaining securities in unrealized loss positions based on the creditworthiness of the underlying creditor, guarantor, or implicit government support, and the Bank neither intends to sell these securities nor considers it more likely than not that the Bank would be required to sell any such security before its anticipated recovery. As a result, the Bank did not consider any of these other investments to be other-than-temporarily impaired at December 31, 2015 and 2014 . |
Advances
Advances | 12 Months Ended |
Dec. 31, 2015 | |
Advances [Abstract] | |
Advances | Advances General Terms. The Bank offers a wide range of fixed- and variable-rate advance products with different maturities, interest rates, payment characteristics and optionality. Fixed-rate advances generally have maturities ranging from one day to 30 years . Variable-rate advances generally have maturities ranging from less than 30 days to ten years, and the interest rates reset periodically at a fixed spread to LIBOR or other specified indices. At December 31, 2015 and December 31, 2014 , the Bank had advances outstanding, including AHP advances, with interest rates ranging from 0.11% to 7.40% . AHP subsidized advances have interest rates ranging from 2.00% to 5.50% . The following table details the Bank’s advances portfolio by year of contractual maturity as of December 31, 2015 and December 31, 2014 . (dollars in thousands) December 31, 2015 December 31, 2014 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 33,192,256 0.70 % $ 29,380,685 0.42 % Due after 1 year through 2 years 18,989,266 0.99 7,754,473 1.22 Due after 2 years through 3 years 13,071,338 0.96 12,764,348 1.14 Due after 3 years through 4 years 6,260,864 0.93 9,361,638 0.82 Due after 4 years through 5 years 1,800,994 1.68 3,373,989 0.84 Thereafter 1,018,555 2.66 490,823 2.77 Total par value 74,333,273 0.89 % 63,125,956 0.76 % Discount on AHP advances (21 ) (66 ) Deferred prepayment fees (4,749 ) (8,600 ) Hedging adjustments 176,273 291,065 Total book value $ 74,504,776 $ 63,408,355 The Bank also offers convertible advances. Convertible advances allow the Bank to convert an advance from one interest rate structure to another. When issuing convertible advances, the Bank may purchase put options from a member that allow the Bank to convert the fixed-rate advance to a variable-rate advance at the current market rate or another structure after an agreed-upon lockout period. A convertible advance carries a lower interest rate than a comparable-maturity fixed-rate advance without the conversion feature. Variable to fixed-rate convertible advances have a defined lockout period during which the interest rates adjust based on a spread to LIBOR. At the end of the lockout period, these advances may convert to fixed-rate advances. The fixed rates on the converted advances are determined at origination. At December 31, 2015 and December 31, 2014 , the Bank had convertible advances outstanding of $1.5 billion and $1.9 billion , respectively. The Bank offers certain advances to members that provide a member the right, based upon predetermined exercise dates, to prepay the advance prior to maturity without incurring prepayment or termination fees (returnable advances). Beginning in May 2015, the Bank began offering variable-rate returnable advances in addition to fixed-rate returnable advances which had already been offered. At December 31, 2015 , the Bank had $12.6 billion of returnable advances, and at December 31, 2014 , the Bank had no returnable advances. At December 31, 2015 and December 31, 2014 , the Bank did not have any advances with embedded features that met the requirements to separate the embedded feature from the host contract and designate the embedded feature as a stand-alone derivative. The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of December 31, 2015 and 2014 . Year of Contractual Maturity or Next Call Date Year of Contractual Maturity or Next Convertible Date (in thousands) December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014 Due in 1 year or less $ 34,692,256 $ 29,380,685 $ 33,771,756 $ 31,164,685 Due after 1 year through 2 years 18,939,266 7,754,473 18,629,266 6,846,973 Due after 2 years through 3 years 11,661,338 12,764,348 12,877,338 12,179,348 Due after 3 years through 4 years 6,245,864 9,361,638 6,255,364 9,095,638 Due after 4 years through 5 years 1,775,994 3,373,989 1,800,994 3,368,489 Thereafter 1,018,555 490,823 998,555 470,823 Total par value $ 74,333,273 $ 63,125,956 $ 74,333,273 $ 63,125,956 Interest Rate Payment Terms. The following table details interest rate payment terms for advances as of December 31, 2015 and 2014 . (in thousands) December 31, December 31, Fixed-rate – overnight $ 4,681,918 $ 2,012,230 Fixed-rate – term: Due in 1 year or less 13,532,806 20,740,508 Thereafter 13,121,108 9,116,344 Total fixed-rate 31,335,832 31,869,082 Variable-rate: Due in 1 year or less 14,977,532 6,627,947 Thereafter 28,019,909 24,628,927 Total variable-rate 42,997,441 31,256,874 Total par value $ 74,333,273 $ 63,125,956 Credit Risk Exposure and Security Terms. The Bank’s potential credit risk from advances is concentrated in commercial banks and savings institutions. As of December 31, 2015 , the Bank had advances of $55.1 billion outstanding to its five largest borrowers, which represented 74.1% of total advances outstanding. Of these five , four had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2015 . As of December 31, 2014 , the Bank had advances of $46.6 billion outstanding to the five largest borrowers, which represented 73.8% of total advances outstanding. Of these five , three had outstanding advance balances that were each in excess of 10% of the total portfolio at December 31, 2014 . See Note 10 for information related to the Bank’s allowance for credit losses. |
Mortgage Loans Held for Portfol
Mortgage Loans Held for Portfolio | 12 Months Ended |
Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio Under the MPF Program, the Bank invests in mortgage loans that it purchases from its participating members and housing associates. The Bank’s participating members originate, service, and credit enhance residential mortgage loans that are sold to the Bank. See Note 18 for further information regarding transactions with related parties. The following table presents balances as of December 31, 2015 and December 31, 2014 for mortgage loans held for portfolio. (in thousands) December 31, December 31, Fixed-rate long-term single-family mortgages (1) $ 2,660,615 $ 2,640,633 Fixed-rate medium-term single-family mortgages (1) 352,082 417,830 Total par value 3,012,697 3,058,463 Premiums 50,857 51,214 Discounts (3,899 ) (4,872 ) Hedging adjustments 32,865 25,789 Total mortgage loans held for portfolio $ 3,092,520 $ 3,130,594 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of December 31, 2015 and December 31, 2014 . (in thousands) December 31, December 31, Conventional loans $ 2,763,930 $ 2,779,962 Government-guaranteed/insured loans 248,767 278,501 Total par value $ 3,012,697 $ 3,058,463 See Note 10 - Allowance for Credit Losses for information related to the Bank’s credit risk on mortgage loans and allowance for credit losses. |
Allowance for Credit Losses
Allowance for Credit Losses | 12 Months Ended |
Dec. 31, 2015 | |
Allowance for Credit Losses [Abstract] | |
Allowance for Credit Losses | Allowance for Credit Losses The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans. Credit Products . The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally calls for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition and is coupled with collateral and lending policies to limit risk of loss while balancing each borrower’s need for a reliable source of funding. In addition, the Bank lends to its members in accordance with the FHLBank Act and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s credit risk from credit products. Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, regardless of the member’s financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be otherwise entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At December 31, 2015 and December 31, 2014 , the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit. The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At December 31, 2015 and December 31, 2014 , the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs). Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at December 31, 2015 and December 31, 2014 , the Bank has not recorded any allowance for credit losses for off-balance sheet credit products. Mortgage Loans - Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans. Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans. The Bank’s allowance for credit losses takes into consideration the CE associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), Supplemental Mortgage Insurance (SMI), and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses. For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed-upon amount, referred to as the FLA. The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. Estimated losses exceeding the CE, if any, are incurred by the Bank. At December 31, 2015 and December 31, 2014 , the MPF exposure under the FLA was $22.7 million and $23.1 million , respectively. The Bank records CE fees paid to PFIs as a reduction to mortgage loan interest income. The Bank incurred CE fees of $3.0 million , $3.2 million and $3.5 million in 2015 , 2014 and 2013, respectively. Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. The resulting estimated losses are reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank. Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. Prior to January 1, 2014, these loans were limited to TDRs. Beginning January 1, 2014, the Bank adopted the classification provisions required by AB 2012-02 as described in Note 2 - Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations. As a result, the population of individually evaluated mortgage loans expanded to include impaired loans considered collateral-dependent loans where repayment is expected to be provided by the sale of the underlying property, which primarily consists of MPF loans that are 180 days or more delinquent and other loans where the borrower has filed for bankruptcy. The estimated credit losses on impaired collateral-dependent loans are separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual basis. The incurred loss on each loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs and recovery through PMI. The estimated fair value is determined based on a value provided by a third party's retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. During 2014, the resulting loss was reduced by available CE. Beginning January 1, 2015, the Bank adopted the charge-off provisions of AB 2012-02. As a result, the estimated credit loss on individually evaluated MPF loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. The CE receivable is evaluated for collectibility, and a reserve, included as part of the allowance for credit losses, is established if required Rollforward of Allowance for Credit Losses. Mortgage Loans - Conventional MPF. (in thousands) 2015 2014 2013 Balance, beginning of period $ 7,260 $ 11,359 $ 14,163 (Charge-offs) Recoveries, net (1) (815 ) 299 (1,035 ) Provision (benefit) for credit losses (780 ) (4,398 ) (1,769 ) Balance, December 31 $ 5,665 $ 7,260 $ 11,359 Notes: (1) Net charge-offs that the Bank does not expect to recover through CE receivable. Allowances for Credit Losses and Recorded Investment by Impairment Methodology . Mortgage Loans - Conventional MPF. (in thousands) 2015 2014 2013 Ending balance, individually evaluated for impairment $ 5,018 $ 6,034 $ 795 Ending balance, collectively evaluated for impairment 647 1,226 10,564 Total allowance for credit losses $ 5,665 $ 7,260 $ 11,359 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a $ 60,762 $ 68,144 $ 15,571 Collectively evaluated for impairment 2,789,517 2,789,826 2,919,583 Total recorded investment $ 2,850,279 $ 2,857,970 $ 2,935,154 BOB Loans. Both the probability of default and loss given default are determined and used to estimate the allowance for credit losses on BOB loans. Loss given default is considered to be 100% due to the fact that the BOB program has no collateral or credit enhancement requirements. The probability of default is based on the actual performance of the BOB program. The Bank considers BOB loans that are delinquent to be nonperforming assets. Rollforward of Allowance for Credit Losses. BOB Loans. (in thousands) 2015 2014 2013 Balance, beginning of period $ 1,840 $ 2,231 $ 2,481 (Charge-offs) Recoveries, net (429 ) (610 ) (154 ) Provision (benefit) for credit losses 641 219 (96 ) Balance, December 31 $ 2,052 $ 1,840 $ 2,231 Allowances for Credit Losses and Recorded Investment by Impairment Methodology. BOB Loans. (in thousands) 2015 2014 2013 Ending balance, individually evaluated for impairment $ 25 $ — $ — Ending balance, collectively evaluated for impairment 2,027 1,840 2,231 Total allowance for credit losses $ 2,052 $ 1,840 $ 2,231 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a $ 63 $ — $ — Collectively evaluated for impairment 13,347 13,518 13,742 Total recorded investment $ 13,410 $ 13,518 $ 13,742 Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. (in thousands) December 31, 2015 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans BOB Loans Total Past due 30-59 days $ 42,746 $ 14,997 $ 86 $ 57,829 Past due 60-89 days 11,752 4,260 78 16,090 Past due 90 days or more 25,169 4,382 156 29,707 Total past due loans $ 79,667 $ 23,639 $ 320 $ 103,626 Total current loans 2,770,612 234,376 13,090 3,018,078 Total loans $ 2,850,279 $ 258,015 $ 13,410 $ 3,121,704 Other delinquency statistics: In process of foreclosures, included above (2) $ 15,353 $ 1,356 $ — $ 16,709 Serious delinquency rate (3) 0.9 % 1.7 % 1.2 % 1.0 % Past due 90 days or more still accruing interest $ — $ 4,382 $ — $ 4,382 Loans on nonaccrual status $ 29,075 $ — $ 383 $ 29,458 (in thousands) December 31, 2014 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans BOB Loans Total Past due 30-59 days $ 50,680 $ 19,238 $ 124 $ 70,042 Past due 60-89 days 11,841 6,034 73 17,948 Past due 90 days or more 41,983 7,024 8 49,015 Total past due loans $ 104,504 $ 32,296 $ 205 $ 137,005 Total current loans 2,753,466 256,606 13,313 3,023,385 Total loans $ 2,857,970 $ 288,902 $ 13,518 $ 3,160,390 Other delinquency statistics: In process of foreclosures, included above (2) $ 26,981 $ 2,389 $ — $ 29,370 Serious delinquency rate (3) 1.5 % 2.4 % 0.1 % 1.6 % Past due 90 days or more still accruing interest $ — $ 7,024 $ — $ 7,024 Loans on nonaccrual status $ 45,900 $ — $ 205 $ 46,105 Notes: (1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance. (2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. Individually Evaluated Impaired Loans. Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. BOB loans are not significant and are excluded from the tables below. December 31, 2015 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 33,737 $ 33,428 $ — With a related allowance: Conventional MPF loans $ 27,025 $ 26,774 $ 5,018 Total: Conventional MPF loans $ 60,762 $ 60,202 $ 5,018 December 31, 2014 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 31,749 $ 31,448 $ — With a related allowance: Conventional MPF loans $ 36,395 $ 36,175 $ 6,034 Total: Conventional MPF loans $ 68,144 $ 67,623 $ 6,034 The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became impaired. Year ended December 31, 2015 Year ended December 31, 2014 Year ended December 31, 2013 (in thousands) Average Recorded Investment (1) Interest Income Recognized Average Recorded Investment (1) Interest Income Recognized Average Recorded Investment (1) Interest Income Recognized Conventional MPF loans $ 63,683 $ 1,966 $ 74,956 $ 1,388 $ 14,552 $ 645 Notes: (1) Includes gross charge-offs. Beginning January 1, 2014, with the adoption of AB 2012-02, the Bank now considers all loans that are180 days or more delinquent or where the borrower has filed for bankruptcy to be individually evaluated impaired loans, which is the reason for the increase as compared to 2013. TDRs. TDRs are considered to have occurred when a concession is granted to the debtor that would not have been considered had it not been for economic or legal reasons related to the debtor’s financial difficulties. Mortgage Loans - Conventional MPF. The Bank offers a loan modification program for its MPF Program. The loans modified under this program are considered TDRs. The Bank also considers a TDR to have occurred when a borrower files for Chapter 7 bankruptcy, the bankruptcy court discharges the borrower’s obligation and the borrower does not reaffirm the debt. The recorded investment in mortgage loans classified as TDRs was $16.9 million as of December 31, 2015 and $16.8 million as of December 31, 2014 . The financial amounts related to TDRs are not material to the Bank’s financial condition, results of operations, or cash flows. BOB Loans. The Bank offers a BOB loan deferral which the Bank considers a TDR. A deferred BOB loan is not required to pay principal or accrue interest for a period up to one year. The credit loss is measured by factoring expected shortfalls incurred as of the reporting date. BOB loan TDRs are not material to the Bank’s financial condition, results of operations, or cash flows. Real Estate Owned (REO) . The Bank had $6.5 million and $6.9 million of REO reported in Other assets on the Statement of Condition at December 31, 2015 and 2014 , respectively. Purchases, Sales and Reclassifications. During 2015 and 2014 , there were no significant purchases or sales of financing receivables. Furthermore, none of the financing receivables were reclassified to held-for-sale. |
Derivatives and Hedging Activit
Derivatives and Hedging Activities | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivatives and Hedging Activities | Derivatives and Hedging Activities Nature of Business Activity. The Bank is exposed to interest rate risk primarily from the effect of interest rate changes on its interest-earning assets and interest-bearing liabilities that finance these assets. The goal of the Bank’s interest rate risk management strategy is not to eliminate interest rate risk but to manage it within appropriate limits. To mitigate the risk of loss, the Bank has established policies and procedures which include guidelines on the amount of exposure to interest rate changes it is willing to accept. In addition, the Bank monitors the risk to its interest income, net interest margin and average maturity of interest-earning assets, and interest-bearing liabilities. Consistent with Finance Agency requirements, the Bank enters into derivatives to manage the interest rate risk exposures inherent in otherwise unhedged assets and funding positions and to achieve the Bank’s risk management objectives. Finance Agency regulation and the Bank’s Risk Governance Policy prohibit trading in or the speculative use of derivative instruments and limit credit risk arising from these instruments. The Bank may use derivatives to reduce funding costs for consolidated obligations and to manage interest rate risk and mortgage prepayment risk positions. Derivatives are an integral part of the Bank’s financial management strategy. The Bank may use derivatives to: • reduce interest rate sensitivity and repricing gaps of assets, liabilities and interest rate exchange agreements; • reduce funding costs by combining a derivative with a consolidated obligation as the cost of a combined funding structure can be lower than the cost of a comparable consolidated obligation bond; • preserve a favorable interest rate spread between the yield of an asset (e.g., an advance) and the cost of the related liability (e.g., the consolidated obligation bond used to fund the advance). Without the use of derivatives, this interest rate spread could be reduced or eliminated when a change in the interest rate on the advance does not match a change in the interest rate on the bond; • mitigate the adverse earnings effects of the shortening or extension of certain assets (e.g., advances or mortgage assets) and liabilities; • protect the value of existing asset or liability positions or of firm commitments; • manage embedded options in assets and liabilities; and • manage its overall asset/liability portfolio. Types of Derivatives. The Bank’s Risk Governance Policy establishes guidelines for its use of derivatives. The Bank can use instruments such as the following to reduce funding costs and to manage exposure to interest rate risks inherent in the normal course of business: • interest rate swaps, including option-embedded interest rate swaps; • interest rate swaptions; and • interest rate caps or floors, including interest rate collars and corridors. Interest Rate Swaps. An interest rate swap is an agreement between two entities to exchange cash flows in the future. The agreement sets the dates on which the cash flows will be paid and the manner in which the cash flows will be calculated. One of the simplest forms of an interest rate swap involves the promise by one party to pay cash flows equivalent to the interest on a notional amount at a predetermined fixed rate for a given period of time. In return for this promise, this party receives cash flows equivalent to the interest on the same notional amount at a variable-rate index for the same period of time. The variable rate received or paid by the Bank in most derivatives is LIBOR. Swaptions. A swaption is an option that gives the buyer the right to enter into a specified interest rate swap at a certain time in the future. When used as a hedge, a swaption can protect the Bank when it is planning to lend or borrow funds in the future against future interest rate changes. The Bank may enter into both payer swaptions and receiver swaptions. A payer swaption is the option to make fixed interest payments at a later date and a receiver swaption is the option to receive fixed interest payments at a later date. Interest Rate Cap and Floor Agreements. In an interest rate cap agreement, a cash flow is generated if the price or rate of an underlying variable rises above a certain threshold (or cap) price. In an interest rate floor agreement, a cash flow is generated if the price or rate of an underlying variable falls below a certain threshold (or floor) price. Caps and floors are designed as protection against the interest rate on a variable-rate asset or liability falling below or rising above a certain level. Application of Derivatives. Derivative financial instruments are used by the Bank as follows: • by designating them as a fair value hedge of an associated financial instrument or firm commitment; or • in asset/liability management (i.e., “economic” hedges that do not qualify for hedge accounting). Management uses derivatives when they are considered to be a cost-effective alternative to achieve the Bank’s financial and risk management objectives. Accordingly, the Bank may enter into derivatives that do not qualify for hedge accounting (economic hedges). The Bank reevaluates its hedging strategies from time to time and may change the hedging techniques it uses or adopt new strategies. Derivative transactions may be executed either with a counterparty (referred to as uncleared derivatives) or cleared through a Futures Commission Merchant (i.e., clearing agent) or a Swap Execution Facility with a Derivatives Clearing Organization (referred to as cleared derivatives). Once a derivative transaction has been accepted for clearing by a Derivative Clearing Organization (Clearing House), the derivative transaction is novated and the executing counterparty is replaced with the Clearing House. The Bank is not a derivatives dealer and does not trade derivatives for short-term profit. For uncleared derivatives, the Bank transacts most of its derivatives with large banks and major broker-dealers. Some of these banks and broker-dealers or their affiliates buy, sell, and distribute consolidated obligations. Types of Hedged Items. The Bank documents at inception all relationships between derivatives designated as hedging instruments and hedged items, its risk management objectives and strategies for undertaking various hedge transactions, and its method of assessing effectiveness. This process includes linking all derivatives that are designated as fair value hedges to (1) assets and liabilities on the Statement of Condition, or (2) firm commitments. The Bank also formally assesses (both at the hedge’s inception and on a monthly basis) whether the derivatives that it uses in hedging transactions have been effective in offsetting changes in the fair value of the hedged items attributable to the hedged risk and whether those derivatives may be expected to remain effective in future periods. The Bank uses regression analyses to assess the effectiveness of its hedges. Investments. The Bank primarily invests in certificates of deposit, U.S. Treasuries, U.S. agency obligations, MBS, and the taxable portion of state or local housing finance agency obligations, which may be classified as HTM, AFS or trading securities. The interest rate and prepayment risks associated with these investment securities are managed through a combination of debt issuance and derivatives. The Bank may manage the prepayment and interest rate risks by funding investment securities with consolidated obligations that have call features or by hedging the prepayment risk with caps or floors, callable swaps or swaptions. The Bank may manage duration risk by funding investment securities with consolidated obligations that contain call features. The Bank may also manage the risk arising from changing market prices and volatility of investment securities by matching the cash outflow on the derivatives with the cash inflow on the investment securities. When the Bank has derivatives associated with trading securities, carried at fair value, or HTM securities, carried at amortized cost, they are designated as economic hedges. When the Bank has AFS securities that have been hedged, it may qualify as a fair value hedge. Advances. The Bank offers a wide array of advance structures to meet members’ funding needs. These advances may have maturities up to 30 years with variable or fixed rates and may include early termination features or options. The Bank may use derivatives to manage the repricing and/or options characteristics of advances to match more closely the characteristics of the funding liabilities. In general, whenever a member executes a fixed-rate advance or a variable-rate advance with embedded options, the Bank will simultaneously execute a derivative that offsets the terms and embedded options, if any, in the advance. For example, the Bank may hedge a fixed-rate advance with an interest rate swap where the Bank pays a fixed-rate coupon and receives a variable-rate coupon, effectively converting the fixed-rate advance to a variable-rate advance. This type of hedge is typically treated as a fair value hedge. When issuing convertible advances, the Bank has the right to convert to/from a fixed rate advance from/to a variable rate if interest rates increase/decrease. A convertible advance carries an interest rate lower than a comparable-maturity fixed-rate advance that does not have the conversion feature. With a putable advance, the Bank effectively purchases a put option from the member that allows the Bank to put or extinguish the fixed-rate advance, which the Bank normally would exercise when interest rates increase. The Bank may hedge these advances by entering into a cancellable derivative. Mortgage Loans. The Bank invests in fixed-rate mortgage loans. The prepayment options embedded in these mortgage loans can result in extensions or contractions in the expected repayment of these investments, depending on changes in estimated prepayment speeds. The Bank manages the interest rate and prepayment risks associated with mortgages through a combination of debt issuance and, at times, derivatives, such as interest rate caps and floors, swaptions and callable swaps. Although these derivatives are valid economic hedges against the prepayment risk of the loans, they are not specifically linked to individual loans and, therefore, do not receive hedge accounting. Consolidated Obligations. The Bank enters into derivatives to hedge the interest rate risk associated with its specific debt issuances. The Bank manages the risk arising from changing market prices and volatility of a consolidated obligation by matching the cash inflow on the derivative with the cash outflow on the consolidated obligation. For instance, in a typical transaction, fixed-rate consolidated obligations are issued by the Bank, and the Bank simultaneously enters into a matching derivative in which the counterparty pays fixed cash flows designed to mirror, in timing and amount, the cash outflows the Bank pays on the consolidated obligation. The Bank pays a variable cash flow that closely matches the interest payments it receives on short-term or variable-rate advances (typically one- or three-month LIBOR). The fixed-rate obligation and matching derivative are treated as fair value hedge relationships. The Bank may issue variable-rate consolidated bonds indexed to LIBOR, the U.S. Prime rate, or Federal funds rate and simultaneously execute interest rate swaps to hedge the basis risk of the variable-rate debt. Basis risk represents the risk that changes to one interest rate index will not perfectly offset changes to another interest rate index. Firm Commitments. The Bank’s mortgage purchase commitments are considered derivatives and are recorded at fair value. When the mortgage purchase commitment derivative settles, the current market value of the commitment is included with the basis of the mortgage loan and amortized accordingly. Because the market in which the purchase of MPF loans differs from the principle market, the transaction price may not equal fair value on the date of the inception of the commitment and may result in a gain or loss for the Bank. The Bank may also hedge a firm commitment for a forward starting advance through the use of an interest rate swap. In this case, the swap functions as the hedging instrument for both the firm commitment and the subsequent advance. Because the firm commitment ends at the same exact time that the advance is settled, the fair value change associated with the firm commitment is effectively rolled into the basis of the advance. If the hedge relationship is de-designated when the commitment is terminated and the advance is issued, the fair value change associated with the firm commitment will be recorded as a basis adjustment of the advance. The basis adjustment will then be amortized into interest income over the life of the advance. In addition, if a hedged firm commitment no longer qualifies as a fair value hedge, the hedge would be terminated and net gains and losses would be recognized in current period earnings. Financial Statement Effect and Additional Financial Information. Derivative Notional Amounts . The notional amount of derivatives serves as a factor in determining periodic interest payments or cash flows received and paid. However, the notional amount of derivatives reflects the Banks' involvement in the various classes of financial instruments and represents neither the actual amounts exchanged nor the overall exposure of the Bank to credit and market risk; the overall risk is much smaller. The risks of derivatives can be measured meaningfully on a portfolio basis that takes into account the counterparties, the types of derivatives, the items being hedged and any offsets between the derivatives and the items being hedged. Additionally, notional values are not meaningful measures of the risks associated with derivatives. The following tables summarize the notional and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of December 31, 2015 and 2014 . For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. December 31, 2015 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 30,416,262 $ 49,104 $ 269,354 Derivatives not designated as hedging instruments: Interest rate swaps $ 13,363,652 $ 18,426 $ 62,384 Interest rate swaptions 25,000 — — Interest rate caps 755,000 2,695 — Mortgage delivery commitments 9,950 253 — Total derivatives not designated as hedging instruments: $ 14,153,602 $ 21,374 $ 62,384 Total derivatives before netting and collateral adjustments $ 44,569,864 $ 70,478 $ 331,738 Netting adjustments and cash collateral (1) (4,623 ) (289,230 ) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 65,855 $ 42,508 December 31, 2014 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 32,196,669 $ 84,205 $ 414,760 Derivatives not designated as hedging instruments: Interest rate swaps $ 11,937,989 $ 21,396 $ 52,925 Interest rate swaptions 25,000 1,312 — Interest rate caps 675,000 4,425 — Mortgage delivery commitments 18,308 434 — Total derivatives not designated as hedging instruments $ 12,656,297 $ 27,567 $ 52,925 Total derivatives before netting and collateral adjustments $ 44,852,966 $ 111,772 $ 467,685 Netting adjustments and cash collateral (1) (75,555 ) (408,721 ) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 36,217 $ 58,964 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $287.0 million and $345.0 million at December 31, 2015 and 2014. Cash collateral received was $2.4 million and $11.8 million at December 31, 2015 and 2014. The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statements of Income. Year ended December 31, (in thousands) 2015 2014 2013 Derivatives designated as hedging instruments: Interest rate swaps (1) $ 4,769 $ 4,287 $ 5,687 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (21,514 ) $ (73,836 ) $ (5,507 ) Interest rate swaptions 56 1,410 — Interest rate caps (1,988 ) (4,496 ) 2,630 Net interest settlements 10,959 26,369 20,444 Mortgage delivery commitments 11,074 8,739 6,982 Other 24 27 15 Total net gains (losses) related to derivatives not designated as hedging instruments $ (1,389 ) $ (41,787 ) $ 24,564 Net gains (losses) on derivatives and hedging activities $ 3,380 $ (37,500 ) $ 30,251 Note: (1) Pertains to total net gains for fair value hedge ineffectiveness. The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for 2015 , 2014 and 2013 . (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) 2015 Hedged item type: Advances $ 110,659 $ (109,811 ) $ 848 $ (198,536 ) Consolidated obligations – bonds 28,735 (25,822 ) 2,913 218,194 AFS securities (7,075 ) 8,083 1,008 (19,032 ) Total $ 132,319 $ (127,550 ) $ 4,769 $ 626 (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) 2014 Hedged item type: Advances $ 249,742 $ (245,817 ) $ 3,925 $ (225,722 ) Consolidated obligations – bonds 74,726 (72,766 ) 1,960 233,774 AFS securities (32,530 ) 30,932 (1,598 ) (11,442 ) Total $ 291,938 $ (287,651 ) $ 4,287 $ (3,390 ) (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) 2013 Hedged item type: Advances $ 290,036 $ (286,937 ) $ 3,099 $ (255,143 ) Consolidated obligations – bonds (315,332 ) 316,551 1,219 217,753 AFS securities 6,188 (4,819 ) 1,369 (3,189 ) Total $ (19,108 ) $ 24,795 $ 5,687 $ (40,579 ) Note: (1) Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $0.8 million , $13.8 million and $18.9 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the years ended December 31, 2015, 2014 and 2013. The Bank had no active cash flow hedging relationships during 2015 , 2014 or 2013. Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. For cleared derivatives, the Clearing Houses are the Bank's counterparties. The Clearing House notifies the clearing agent of the required initial and variation margin. The requirement that the Bank post initial and variation margin through the clearing agent, which notifies the FHLBank on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the fair value of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House. Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 19 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. Generally, the Bank’s ISDA agreements for uncleared derivatives contain provisions that require the Bank to post additional collateral with its counterparties if there is deterioration in the Bank’s credit rating and the net liability position exceeds the relevant threshold. If the Bank’s credit rating is lowered by a major credit rating agency, the Bank would be required to deliver additional collateral on uncleared derivative instruments in net liability positions. The aggregate fair value of all uncleared derivative instruments with credit-risk related contingent features that were in a net liability position (before cash collateral and related accrued interest) at December 31, 2015 was $96.9 million for which the Bank has posted cash collateral with a fair value of approximately $54.8 million . If the Bank’s credit rating had been lowered one notch (i.e., from its current rating to the next lower rating), the Bank would have been required to deliver up to an additional $24.3 million of collateral to its derivative counterparties at December 31, 2015 . For cleared derivatives, the Clearing House determines initial margin requirements and generally credit ratings are not factored into the initial margin. However, clearing agents may require additional initial margin to be posted based on credit considerations, including but not limited to credit rating downgrades. The Bank was not required by its clearing agents to post additional initial margin at December 31, 2015 . Offsetting of Derivative Assets and Derivative Liabilities. When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties. Derivative Assets (in thousands) December 31, 2015 December 31, 2014 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 39,068 $ 102,570 Cleared derivatives 31,157 8,768 Total gross recognized amount 70,225 111,338 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (37,981 ) (96,286 ) Cleared derivatives 33,358 20,731 Total gross amounts of netting adjustments and cash collateral (4,623 ) (75,555 ) Net amounts after netting adjustments: Uncleared derivatives 1,087 6,284 Cleared derivatives 64,515 29,499 Total net amounts after netting adjustments 65,602 35,783 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 253 434 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 253 434 Total derivative assets: Uncleared derivatives 1,340 6,718 Cleared derivatives 64,515 29,499 Total derivative assets as reported in the Statement of Condition 65,855 36,217 Non-cash collateral received or pledged not offset: Can be sold or repledged Uncleared derivatives — (636 ) Cleared derivatives — — Total Can be sold or repledged — (636 ) Net unsecured amount Uncleared derivatives 1,340 6,082 Cleared derivatives 64,515 29,499 Total net unsecured amount $ 65,855 $ 35,581 Derivative Liabilities (in thousands) December 31, 2015 December 31, 2014 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 132,910 $ 283,979 Cleared derivatives 198,828 183,706 Total gross recognized amount 331,738 467,685 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (90,402 ) (225,015 ) Cleared derivatives (198,828 ) (183,706 ) Total gross amounts of netting adjustments and cash collateral (289,230 ) (408,721 ) Net amounts after netting adjustments: Uncleared derivatives 42,508 58,964 Cleared derivatives — — Total net amounts after netting adjustments 42,508 58,964 Total derivative liabilities: Uncleared derivatives 42,508 58,964 Cleared derivatives — — Total derivative liabilities as reported in the Statement of Condition 42,508 58,964 Net unsecured amount Uncleared derivatives 42,508 58,964 Total net unsecured amount $ 42,508 $ 58,964 Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest rate futures or forwards). |
Premises, Software and Equipmen
Premises, Software and Equipment | 12 Months Ended |
Dec. 31, 2015 | |
Property, Plant and Equipment [Abstract] | |
Premises, Software and Equipment | Premises, Software and Equipment December 31, (in thousands) 2015 2014 Computer hardware and software $ 54,593 $ 52,369 Furniture 915 959 Leasehold improvements 2,478 2,331 Equipment and other 980 974 Total premises, software and equipment, gross 58,966 56,633 Less: Accumulated depreciation and amortization 48,279 46,187 Total premises, software and equipment, net $ 10,687 $ 10,446 Depreciation and amortization expense on premises, software, and equipment was $3.7 million , $4.3 million and $5.3 million for 2015 , 2014 and 2013 , respectively. Gains and losses on disposal of premises and equipment are included in other, net income on the Statement of Income. There were no material net realized gains (losses) on disposal of premises and equipment for 2015 , 2014 or 2013 . Included in total depreciation and amortization expense is amortization expense on software of $3.1 million , $3.7 million and $4.5 million for 2015 , 2014 and 2013 , respectively. The unamortized software balance was $9.5 million and $9.0 million at December 31, 2015 and 2014 , respectively. During 2015 and 2014 , the Bank capitalized $3.6 million and $3.8 million , respectively, in costs associated with computer software developed for internal use. |
Deposits
Deposits | 12 Months Ended |
Dec. 31, 2015 | |
Deposits [Abstract] | |
Deposits | Deposits The Bank offers demand and overnight deposits to both members and qualifying nonmembers and term deposits to members. Noninterest-bearing demand and overnight deposits are comprised of funds collected by members pending disbursement to the mortgage loan holders, as well as member funds deposited at the FRB. Interest-bearing deposits classified as demand and overnight pay interest based on a daily interest rate. Term deposits pay interest based on a fixed rate determined at the issuance of the deposit. The weighted-average interest rates paid on interest bearing deposits were 0.04% , 0.03% and 0.04% during 2015 , 2014 and 2013 , respectively. The following table details interest-bearing and noninterest-bearing deposits as of December 31, 2015 and 2014 . December 31, (in thousands) 2015 2014 Interest-bearing: Demand and overnight $ 635,468 $ 601,454 Noninterest-bearing: Demand and overnight 50,469 39,726 Total deposits $ 685,937 $ 641,180 There were no outstanding term deposits as of December 31, 2015 and December 31, 2014 . |
Consolidated Obligations
Consolidated Obligations | 12 Months Ended |
Dec. 31, 2015 | |
Debt Disclosure [Abstract] | |
Consolidated Obligations | Consolidated Obligations Consolidated obligations consist of consolidated bonds and discount notes. The FHLBanks issue consolidated obligations through the OF as their agent. In connection with each debt issuance, each FHLBank specifies the amount of debt it wants issued on its behalf. The OF tracks the amount of debt issued on behalf of each FHLBank. In addition, the Bank records as a liability its specific portion of consolidated obligations for which it is the primary obligor. The Finance Agency and the U.S. Secretary of the Treasury oversee the issuance of FHLBank debt through the OF. Consolidated bonds are issued primarily to raise intermediate and long-term funds for the FHLBanks and are not subject to any statutory or regulatory limits on their maturity. Consolidated discount notes are issued primarily to raise short-term funds. These notes generally sell at less than their face amount and are redeemed at par value when they mature. Although the Bank is primarily liable for its portion of consolidated obligations, the Bank is also jointly and severally liable with the other ten FHLBanks for the payment of principal and interest on all consolidated obligations of each of the FHLBanks. The Finance Agency, at its discretion, may require any FHLBank to make principal or interest payments due on any consolidated obligations whether or not the consolidated obligation represents a primary liability of such FHLBank. Although an FHLBank has never paid the principal or interest payments due on a consolidated obligation on behalf of another FHLBank, if one FHLBank is required make such payments on behalf of another FHLBank, Finance Agency regulations provide that the paying FHLBank is entitled to reimbursement from the non-complying FHLBank for any payments made on its behalf and other associated costs including interest to be determined by the Finance Agency. However, if the Finance Agency determines that the non-complying FHLBank is unable to satisfy its repayment obligations, then the Finance Agency may allocate the outstanding liabilities of the non-complying FHLBank among the remaining FHLBanks on a pro rata basis in proportion to each FHLBank’s participation in all consolidated obligations outstanding. The Finance Agency reserves the right to allocate the outstanding liabilities for the consolidated obligations among the FHLBanks in any other manner it may determine to ensure that the FHLBanks operate in a safe and sound manner. The par amount of the 11 FHLBanks’ outstanding consolidated obligations was $905.2 billion and $847.2 billion at December 31, 2015 and 2014 , respectively. Regulations require the Bank to maintain unpledged qualifying assets equal to its participation of the consolidated obligations outstanding. Qualifying assets are defined as cash; secured advances; obligations of or fully guaranteed by the United States; obligations, participations, or other instruments of or issued by Fannie Mae or Ginnie Mae; mortgages, obligations or other securities which are or ever have been sold by Freddie Mac under the Act; and such securities as fiduciary and trust funds may invest in under the laws of the state in which the Bank is located. Any assets subject to a lien or pledge for the benefit of holders of any issue of consolidated obligations are treated as if they are free from lien or pledge for purposes of compliance with these regulations. General Terms. Consolidated obligations are issued with either fixed-rate coupon payment terms or variable-rate coupon payment terms that can use a variety of indices for interest rate resets including the federal funds effective rate, LIBOR, and others. To meet the expected specific needs of certain investors in consolidated obligations, both fixed-rate bonds and variable-rate bonds may contain features which may result in complex coupon payment terms and call options. When such consolidated obligations are issued, the Bank may enter into derivatives containing offsetting features that effectively convert the terms of the bond to those of a simple variable-rate bond or a fixed-rate bond. The Bank has no outstanding consolidated obligations denominated in currencies other than U.S. dollars. These consolidated obligations, beyond having fixed-rate or simple variable-rate coupon payment terms, may also have the following broad terms regarding either principal repayment or coupon payment terms: Indexed Principal Redemption Bonds (index amortizing notes) repay principal according to predetermined amortization schedules that are linked to the level of a certain index. A form of an indexed principal redemption bond that the Bank has issued in the past is an Amortizing Prepayment Linked Security (APLS). The APLS redeem based on the prepayments of Fannie Mae, Freddie Mac, Ginnie Mae or private label reference pools. As of December 31, 2015 and 2014 , most of the index amortizing notes had fixed-rate coupon payment terms. Usually, as market interest rates rise (fall), the average life of the index amortizing notes extends (contracts). Optional Principal Redemption Bonds (callable bonds) that the Bank may redeem in whole or in part at its discretion on predetermined call dates according to the terms of the bond offerings. Interest Rate Payment Terms. With respect to interest payments, consolidated obligation bonds may also have the following terms: Step-up Bonds generally pay interest at increasing fixed rates at specified intervals over the life of the bond. These bonds generally contain provisions enabling the Bank to call bonds at its option on the step-up dates; and Conversion Bonds have coupons that the Bank may convert from fixed to floating, or floating to fixed, or from one U.S. or other currency index to another, at its discretion on predetermined dates according to the terms of the bond offerings. The following table details interest rate payment terms for the Bank’s consolidated obligation bonds as of December 31, 2015 and 2014 . December 31, (in thousands) 2015 2014 Par value of consolidated bonds: Fixed-rate $ 31,945,658 $ 36,296,100 Step-up 1,860,000 3,116,000 Floating-rate 14,650,000 4,190,000 Conversion bonds - fixed to floating 60,000 — Total par value 48,515,658 43,602,100 Bond premiums 107,339 147,824 Bond discounts (9,629 ) (12,111 ) Hedging adjustments (7,386 ) (23,303 ) Total book value $ 48,605,982 $ 43,714,510 Maturity Terms. The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of December 31, 2015 and 2014 . December 31, 2015 December 31, 2014 (dollars in thousands) Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 26,814,155 0.68 % $ 15,033,450 1.00 % Due after 1 year through 2 years 8,753,810 1.21 9,316,860 1.42 Due after 2 years through 3 years 4,998,335 1.46 5,346,515 1.64 Due after 3 years through 4 years 2,017,720 1.84 4,709,300 1.50 Due after 4 years through 5 years 2,040,940 1.91 2,911,350 1.72 Thereafter 3,733,950 2.66 5,959,265 2.35 Index amortizing notes 156,748 4.73 325,360 4.14 Total par value $ 48,515,658 1.12 % $ 43,602,100 1.48 % The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2015 and 2014 . December 31, (in thousands) 2015 2014 Noncallable $ 41,462,658 $ 30,388,100 Callable 7,053,000 13,214,000 Total par value $ 48,515,658 $ 43,602,100 The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2015 and 2014 . (in thousands) December 31, Year of Contractual Maturity or Next Call Date 2015 2014 Due in 1 year or less $ 33,517,155 $ 28,232,450 Due after 1 year through 2 years 7,778,810 8,114,860 Due after 2 years through 3 years 3,672,335 3,551,515 Due after 3 years through 4 years 1,202,720 1,390,300 Due after 4 years through 5 years 810,940 1,028,350 Thereafter 1,376,950 959,265 Index amortizing notes 156,748 325,360 Total par value $ 48,515,658 $ 43,602,100 During 2015 and 2014, the Bank did not repurchase any consolidated obligations. In 2013, the Bank repurchased $758.0 million of swapped callable bonds. These early extinguishments resulted in a net gain of $9.6 million . Consolidated Obligation Discount Notes. Consolidated obligation discount notes are issued to raise short-term funds. Discount notes are consolidated obligations with original maturities up to one year. These notes are issued at less than their face amount and redeemed at par value when they mature. The following table details the Bank’s consolidated obligation discount notes as of December 31, 2015 and 2014 . December 31, (dollars in thousands) 2015 2014 Book value $ 42,276,815 $ 37,058,118 Par value 42,318,509 37,065,745 Weighted average interest rate (1) 0.32 % 0.10 % Note: (1) Represents yield to maturity excluding concession fees. Concessions on Consolidated Obligations. Unamortized concessions, included in other assets on the Statement of Condition, were $6.5 million at both December 31, 2015 and 2014 . The amortization of such concessions is included in consolidated obligations interest expense on the Statement of Income and totaled $7.2 million , $4.3 million and $4.1 million for 2015 , 2014 , and 2013 , respectively. |
Affordable Housing Program (AHP
Affordable Housing Program (AHP) | 12 Months Ended |
Dec. 31, 2015 | |
Affordable Housing Program [Abstract] | |
Affordable Housing Program (AHP) | Affordable Housing Program (AHP) In support of the goal of providing funding for housing and economic development in its district’s communities, the Bank administers a number of programs, some mandated and some voluntary, which make funds available through member financial institutions. In all of these programs, Bank funds flow through member financial institutions into areas of need throughout the region. The AHP, mandated by the Act, is the largest and primary public policy program of the FHLBanks. The Act requires the Bank to contribute 10% of its current year net income (as defined by a Finance Agency advisory bulletin as GAAP net income before interest expense related to mandatorily redeemable capital stock and the assessment for AHP) to AHP and make these funds available for use in the subsequent year. Each year, the Bank’s Board adopts an implementation plan that defines the structure of the program pursuant to the AHP regulations. Each FHLBank provides subsidies in the form of direct grants and/or below-market interest rate advances where the funds are used to assist in the purchase, construction or rehabilitation of housing for very low-, low-, and moderate-income households. Annually, the FHLBanks must collectively set aside for the AHP the greater of $100 million or 10% of income subject to assessment. The Bank accrues this expense monthly based on its net income. The Bank reduces the AHP liability as members use subsidies. If the Bank experienced a net loss during a quarter, but still had net earnings for the year, the Bank’s obligation to the AHP would be calculated based on the Bank’s year-to-date net income. If the Bank had net income in subsequent quarters, it would be required to contribute additional amounts to meet its calculated annual obligation. If the Bank experienced a net loss for a full year, the Bank would have no obligation to the AHP for the year since each FHLBank’s required annual AHP contribution is limited to its annual net income. If the aggregate 10% calculation described above was less than $100 million for all the FHLBanks, each FHLBank would be required to assure that the aggregate contributions of the FHLBanks equal $100 million . The proration would be made on the basis of an FHLBank’s income in relation to the income of all FHLBanks for the previous year. There was no shortfall in 2015 , 2014 , or 2013 . If an FHLBank finds that its required contributions are contributing to the financial instability of that FHLBank, it may apply to the Finance Agency for a temporary suspension of its contributions. The Bank did not make any such application in 2015 , 2014 , or 2013 . The Bank had outstanding principal in AHP-related advances of $1.4 million and $2.3 million at December 31, 2015 and 2014 , respectively. The following table presents an analysis of the AHP payable for 2015 , 2014 , and 2013 . (in thousands) 2015 2014 2013 Balance, beginning of the year $ 55,997 $ 36,353 $ 24,457 Assessments 28,519 28,437 16,578 Subsidy usage, net (13,609 ) (8,793 ) (4,682 ) Balance, end of the year $ 70,907 $ 55,997 $ 36,353 |
Capital
Capital | 12 Months Ended |
Dec. 31, 2015 | |
Capital [Abstract] | |
Capital | Capital The Bank is subject to the following three capital requirements under its current Capital Plan Structure and the Finance Agency rules and regulations. Regulatory capital does not include AOCI, but does include mandatorily redeemable capital stock. • Risk-based capital (RBC) . Under this capital requirement, the Bank must maintain at all times permanent capital, defined as Class B stock and retained earnings, in an amount at least equal to the sum of its credit risk, market risk, and operations risk capital requirements, all of which are calculated in accordance with the rules and regulations of the Finance Agency. The Finance Agency may require the Bank to maintain a greater amount of minimum capital levels than is required based on the Finance Agency rules and regulations. • Total regulatory capital. Under this capital requirement, the Bank is required to maintain at all times a total capital-to-assets ratio of at least 4.0% . Total regulatory capital is the sum of permanent capital, Class A stock, any general loss allowance, if consistent with GAAP and not established for specific assets, and other amounts from sources determined by the Finance Agency as available to absorb losses; and • Leverage capital . Under this third capital requirement, the Bank is required to maintain at all times a leverage capital-to-assets ratio of at least 5.0% . Leverage capital is defined as the sum of (i) permanent capital weighted 1.5 times and (ii) all other capital without a weighting factor. At December 31, 2015 , the Bank was in compliance with all regulatory capital requirements. The Bank has two subclasses of capital stock: B1 membership stock and B2 activity stock. At December 31, 2015 , the Bank had $0.3 billion and $3.2 billion in B1 membership stock and B2 activity stock, respectively. At December 31, 2014 , the Bank had $0.3 billion and $2.7 billion in B1 membership stock and B2 activity stock, respectively. The following table demonstrates the Bank’s compliance with these capital requirements at December 31, 2015 and 2014. December 31, 2015 December 31, 2014 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 820,621 $ 4,426,971 $ 847,424 $ 3,879,108 Total capital-to-asset ratio 4.0 % 4.6 % 4.0 % 4.5 % Total regulatory capital 3,853,451 4,426,971 3,427,083 3,879,108 Leverage ratio 5.0 % 6.9 % 5.0 % 6.8 % Leverage capital 4,816,814 6,640,456 4,283,854 5,818,663 When the Finance Agency implemented the prompt corrective action provisions of the Housing Act, it established four capital classifications for the FHLBanks: adequately capitalized, undercapitalized, significantly undercapitalized, and critically undercapitalized. On December 10, 2015, the Bank received final notification from the Finance Agency that it was considered “adequately capitalized” for the quarter ended September 30, 2015. As of the date of this filing, the Bank has not received final notice from the Finance Agency regarding its capital classification for the quarter ended December 31, 2015 . Capital Concentrations. The following tables present member holdings of 10% or more of the Bank’s total capital stock including mandatorily redeemable capital stock outstanding as of December 31, 2015 and December 31, 2014 . (dollars in thousands) December 31, 2015 Member (1) Capital Stock % of Total PNC Bank, N.A., Wilmington, DE $ 881,552 24.9 % Santander Bank, N.A., Wilmington, DE 600,872 17.0 Chase Bank USA, N.A., Wilmington, DE 424,502 12.0 Ally Bank, Midvale, UT 391,287 11.0 (dollars in thousands) December 31, 2014 Member (1) Capital Stock % of Total PNC Bank, N.A., Wilmington, DE $ 876,305 28.8 % Santander Bank, N.A., Wilmington, DE 424,955 14.0 Chase Bank USA, N.A., Wilmington, DE 362,050 11.9 Note: (1) For Bank membership purposes, the principal place of business for PNC Bank is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, PA. Mandatorily Redeemable Capital Stock. Each FHLBank is a cooperative whose member financial institutions and former members own all of the relevant FHLBank’s issued and outstanding capital stock. Shares cannot be purchased or sold except between an FHLBank and its members at the shares’ par value of $100 , as mandated by each FHLBank’s capital plan. At December 31, 2015 and December 31, 2014 , the Bank had $6.0 million and $586 thousand , respectively, in capital stock subject to mandatory redemption with payment subject to a five-year waiting period and the Bank meeting its minimum regulatory capital requirements. Estimated dividends on mandatorily redeemable capital stock which were recorded as interest expense were immaterial in 2015 , 2014 and 2013 . The following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2015 , 2014 , and 2013 . (in thousands) 2015 2014 2013 Balance, beginning of the period $ 586 $ 40 $ 431,566 Capital stock subject to mandatory redemption reclassified from capital 36,629 8,422 698 Net redemption/repurchase of mandatorily redeemable stock (31,162 ) (7,876 ) (432,224 ) Balance, end of the period $ 6,053 $ 586 $ 40 As of December 31, 2015 , the total mandatorily redeemable capital stock reflected the balance for three institutions. Two institutions were merged out of district and are considered to be nonmembers. One other institution has notified the Bank of its intention to voluntary redeem its capital stock and withdraw from membership. This institution will continue to be a member of the Bank until the withdrawal period is completed. The following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at December 31, 2015 and December 31, 2014 . December 31, (in thousands) 2015 2014 Due in 1 year or less $ — $ — Due after 1 year through 2 years — — Due after 2 years through 3 years — — Due after 3 years through 4 years 546 — Due after 4 years through 5 years 5,507 586 Total $ 6,053 $ 586 The year of redemption in the table above is the end of the five-year redemption period for the mandatorily redeemable capital stock. Under the terms of the Bank’s Capital Plan, membership capital stock is redeemable five years from the date of membership termination or withdrawal notice from the member. If the membership is terminated due to a merger or consolidation, the membership capital stock is deemed to be excess stock and is repurchased. The activity capital stock (i.e., supporting advances, letters of credit and MPF) relating to termination, withdrawal, mergers or consolidation is recalculated based on the underlying activity. Any excess activity capital stock is repurchased on an ongoing basis as part of the Bank’s excess stock repurchase program that is in effect at the time. Therefore, the redemption period could be less than five years if the stock becomes excess stock. However, the redemption period could extend beyond five years if the underlying activity is still outstanding. Dividends and Retained Earnings. Each FHLBank is required to contribute 20% of its net income each quarter to a RRE account until the balance of that account equals at least 1% of that FHLBank’s average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At December 31, 2015 , retained earnings were $881.2 million , including $718.7 million of unrestricted retained earnings and $162.5 million of RRE. The Finance Agency has issued regulatory guidance to the FHLBanks relating to capital management and retained earnings. The guidance directs each FHLBank to assess, at least annually, the adequacy of its retained earnings with consideration given to future possible financial and economic scenarios. The guidance also outlines the considerations that each FHLBank should undertake in assessing the adequacy of the Bank’s retained earnings. The Bank’s retained earnings policy and capital adequacy metric utilize this guidance. Dividends paid by the Bank are subject to Board approval and may be paid in either capital stock or cash; historically, the Bank has paid cash dividends only. Dividends paid in 2015 , 2014 , and 2013 were as follows in the table below. These dividends were based on stockholders' average balances for the previous quarter. Dividend - Annual Yield 2015 2014 2013 Membership Activity February (1) (1) 2.50% 0.32% April 3.00% 5.00% 4.00% 0.29% July 3.00% 5.00% 4.00% 1.00% October 3.00% 5.00% 4.00% 1.50% Note: (1) The Bank did not differentiate dividends on activity and membership stock prior to April 2015. In February 2015, the Bank paid a quarterly dividend equal to an annual yield of 4.00% . In addition, the Bank paid a special dividend of 2.50% . This special dividend was based on average member capital stock for the full year of 2014. In February 2016, the Bank paid a quarterly dividend equal to an annual yield of 5.0% and 3.0% on activity stock and membership stock, respectively. The following table summarizes the changes in AOCI for 2015 , 2014 and 2013 . (in thousands) Net Unrealized Gains(Losses) on AFS Non-credit OTTI Gains(Losses) on AFS Non-credit OTTI Gains(Losses) on HTM Net Unrealized Gains (Losses) on Hedging Activities Pension and Post-Retirement Plans Total December 31, 2012 $ 35,390 $ 18,999 $ — $ 286 $ (970 ) $ 53,705 Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) (67,912 ) 32,802 — — — (35,110 ) Net change in fair value of OTTI securities — 25,399 — — — 25,399 Reclassifications from OCI to net income: Non-credit OTTI to credit OTTI — 442 — — — 442 Reclassifications adjustment included in net income 41 — — — — 41 Amortization on hedging activities — — — 1 — 1 Pension and post-retirement — — — — (138 ) (138 ) December 31, 2013 $ (32,481 ) $ 77,642 $ — $ 287 $ (1,108 ) $ 44,340 December 31, 2013 $ (32,481 ) $ 77,642 $ — $ 287 $ (1,108 ) $ 44,340 Other comprehensive income (loss) before reclassifications: Net unrealized gains 64,941 13,896 — — — 78,837 Net change in fair value of OTTI securities — 2,913 — — — 2,913 Amortization on hedging activities — — — (15 ) — (15 ) Pension and post-retirement — — — — (1,642 ) (1,642 ) December 31, 2014 $ 32,460 $ 94,451 $ — $ 272 $ (2,750 ) $ 124,433 December 31, 2014 $ 32,460 $ 94,451 $ — $ 272 $ (2,750 ) $ 124,433 Other comprehensive income (loss) before reclassifications: Net unrealized (losses) (23,712 ) (21,510 ) — — — (45,222 ) Non-credit component of OTTI losses — — (1,665 ) — — (1,665 ) Non-credit OTTI losses transferred — (1,665 ) 1,665 — — — Net change in fair value of OTTI securities — 1,185 — — — 1,185 Reclassifications from OCI to net income: Non-credit OTTI to credit OTTI — 509 — — — 509 Amortization on hedging activities — — — (25 ) — (25 ) Pension and post-retirement — — — — 1,468 1,468 December 31, 2015 $ 8,748 $ 72,970 $ — $ 247 $ (1,282 ) $ 80,683 |
Employee Retirement Plans
Employee Retirement Plans | 12 Months Ended |
Dec. 31, 2015 | |
Compensation and Retirement Disclosure [Abstract] | |
Employee Retirement Plans | Employee Retirement Plans Qualified Defined Benefit Multiemployer Plan. The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (Defined Benefit Plan), a tax qualified defined benefit pension plan. The Defined Benefit Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code (IRC). As a result, certain multiemployer plan disclosures are not applicable to the Defined Benefit Plan. Under the Defined Benefit Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The plan covers substantially all officers and employees of the Bank that meet certain eligibility requirements. The Defined Benefit Plan operates on a fiscal year from July 1 through June 30 . The Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 , and the three-digit plan number is 333 . There are no collective bargaining agreements in place at the Bank. The Defined Benefit Plan’s annual valuation process includes calculating the plan’s funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of the plan’s assets divided by the funding target (100% of the present value of all benefit liabilities accrued at that date). During 2012, the calculation of the discount rate used to determine the funding target was changed by the Moving Ahead for Progress in the 21st Century Act (MAP-21). Certain provisions of MAP-21 were extended in 2014. MAP-21 resulted in a higher discount rate, which increased the Bank’s funded status significantly. As permitted by ERISA, the Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. As a result, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30 that the plan’s participants may choose to make. The most recent Form 5500 available for the Defined Benefit Plan is for the fiscal year ended June 30, 2014. The Bank’s contributions to the Defined Benefit Plan during 2015 were less than 5% of total plan contributions during the plan year ended June 30, 2014. The Bank’s contributions to the Defined Benefit Plan during 2014 were more than 5% of total plan contributions. (dollars in thousands) 2015 2014 2013 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 4,687 $ 7,247 $ 8,876 Defined Benefit Plan funded status as of July 1 106.9 % (a) 111.4 % (b) 101.3 % Bank’s funded status as of July 1 126.7 % 128.6 % 107.8 % (a) The Defined Benefit Plan’s funded status as of July 1, 2015 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2015 through March 15, 2016. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2017). (b) The funded status disclosed was preliminary as the Form 5500 had not been filed when disclosed. The Bank did not update this preliminary funded status for final results. Included in the net pension costs above are discretionary contributions of $ 4.3 million , $6.9 million and $8.5 million in 2015 , 2014 , and 2013 , respectively. However, these contributions may not be applied to the Bank’s funded status in the same plan year due to differences in year-ends. Qualified Defined Contribution Plan. The Bank also participates in the Pentegra Defined Contribution Plan for Financial Institutions, a tax qualified defined contribution pension plan. The Bank’s contributions consist of a matching contribution equal to a percentage of voluntary employee contributions, subject to certain limitations. The Bank contributed $1.2 million , $1.0 million and $0.9 million for 2015 , 2014 and 2013 , respectively. Nonqualified Supplemental Deferred Compensation Plans. In addition, the Bank maintains nonqualified deferred compensation plans, available to select employees and directors, which are, in substance, unfunded supplemental defined contribution retirement plans. The plans’ liabilities consist of the accumulated compensation deferrals and accrued earnings (losses) on the deferrals. The Bank’s obligation from these plans wa s $6.5 million and $5.8 million at December 31, 2015 and 2014 , respectively, and the Bank recognized operating expenses of $0.2 million , $0.6 million , and $1.1 million for 2015 , 2014 and 2013 , respectively. Although the nonqualified compensation plans are unfunded, the Bank owns mutual funds held in a Rabbi trust to help secure the Bank’s obligation to participants and to partially offset the earnings (losses) of certain deferred compensation agreements. See Note 4 - Trading Securities for additional information. Post-retirement Health Benefit Plan. The Bank sponsors an unfunded retiree benefits program that includes health care and life insurance benefits for eligible retirees. Employees who retired prior to January 1, 1992, receive health care benefits at the Bank’s expense after age 65. Employees retiring after January 1, 1992, participate in a health reimbursement account (HRA). At the discretion of the Bank, the amount can be modified. A limited life insurance benefit is provided at the Bank’s expense for retirees who retired prior to January 1, 2009. Employees who retired after January 1, 1992 but prior to January 1, 2009, also met specific eligibility requirements of age 65 years or age 60 years with a minimum of ten years of service at the time of retirement to be eligible for retiree health and life insurance benefits. The Accumulated Post-retirement Benefit Obligation (APBO) as of December 31, 2015 and 2014 was $1.9 million and $2.0 million . Supplemental Executive Retirement Plan (SERP). The Bank also maintains an unfunded SERP, a nonqualified defined benefit retirement plan, for certain executives. The SERP ensures, among other things, that participants receive the full amount of benefits to which they would have been entitled under the qualified defined benefit pension plan in the absence of limits on benefits levels imposed by the Internal Revenue Service. The accumulated benefit obligation for the SERP was $5.2 million and $4.7 million at December 31, 2015 and 2014 , respectively. As noted above, all nonqualified plans maintained by the Bank are unfunded; however, the Bank owns mutual funds held in a Rabbi trust to help secure the Bank’s obligation to participants. See Note 5 - AFS Securities for additional information. The Post-retirement Health Benefit Plan and SERP are not material to the Bank. However, the following table sets forth their benefit obligations recorded in “Other liabilities” and amounts recognized in AOCI. In addition, the Bank recognized $1.2 million , $953 thousand , and $960 thousand in “Compensation and benefits” expense related to these two plans at December 31, 2015 , 2014 and 2013 , respectively. SERP Post-retirement Health Benefit Plan Total (in thousands) 2015 2014 2015 2014 2015 2014 Benefit obligations $ 6,673 $ 7,030 $ 1,876 $ 1,990 $ 8,549 $ 9,020 Unrealized actuarial gains (losses) in AOCI $ (1,799 ) $ (3,123 ) $ 517 $ 373 $ (1,282 ) $ (2,750 ) |
Transactions with Related Parti
Transactions with Related Parties | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transactions [Abstract] | |
Transactions with Related Parties | Transactions with Related Parties The Bank is a cooperative whose member institutions own the capital stock of the Bank and may receive dividends on their investments. In addition, certain former members that still have outstanding transactions are also required to maintain their investment in Bank capital stock until the transactions mature or are paid off. All loans, including BOB loans, are issued to members and all mortgage loans held for portfolio are purchased from members. The Bank also maintains demand deposit accounts for members primarily to facilitate settlement activities that are directly related to advances and mortgage loan purchases. All transactions with members are entered into in the normal course of business. In instances where the member also has an officer or a director who is a Director of the Bank, those transactions are subject to the same eligibility and credit criteria, as well as the same terms and conditions, as all other transactions. Related parties are defined as those parties meeting any one of the following criteria: (1) other FHLBanks in the System; (2) members with capital stock outstanding in excess of 10% of total capital stock outstanding; or (3) members and nonmember borrowers that have an officer or director who is a Director of the Bank. The following table includes significant outstanding related party member balances. December 31, (in thousands) 2015 2014 Investments $ 176,345 $ 157,025 Advances 54,610,238 38,765,267 Letters of credit (1) 8,245,423 9,608,983 MPF loans 1,052,569 1,326,807 Deposits 24,636 13,678 Capital stock 2,366,721 1,714,432 Note: (1) Letters of credit are off-balance sheet commitments. The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest income on investments and interest expense on deposits were immaterial for the periods presented. Year ended December 31, (in thousands) 2015 2014 2013 Interest income on advances (1) $ 200,743 $ 138,121 $ 131,092 Interest income on MPF loans 64,002 80,674 101,353 Letter of credit fees 10,796 8,481 1,609 Prepayment fees on advances — 13,787 — Notes: (1) For 2015, 2014 and 2013, respectively, includes contractual interest income of $341.5 million , $319.5 million , and $348.2 million ; net interest settlements on derivatives in fair value hedge relationships of $(139.8) million , $(177.8) million , and $(214.3) million ; and total amortization of basis adjustments of $(0.9) million , $(3.6) million , and $(2.8) million . The following table includes the MPF activity of the related party members. (in thousands) 2015 2014 2013 Total MPF loan volume purchased $ 8,756 $ 13,049 $ 14,558 The following table summarizes the effect of the MPF activities with FHLBank of Chicago. Year ended December 31, (in thousands) 2015 2014 2013 Servicing fee expense $ 1,147 $ 994 $ 916 December 31, (in thousands) 2015 2014 Interest-bearing deposits maintained with FHLBank of Chicago $ 6,075 $ 6,782 From time to time, the Bank may borrow from or lend to other FHLBanks on a short-term uncollateralized basis. For 2015 , 2014 and 2013 , there was no borrowing or lending activity between the Bank and other FHLBanks. Subject to mutually agreed upon terms, on occasion an FHLBank may transfer at fair value its primary debt obligations to another FHLBank, which becomes the primary obligor on the transferred debt upon completion of the transfer. During 2014, the Bank assumed the debt of FHLBank New York with a par value of $59.0 million and fair value of $65.6 million . During 2015 and 2013 , there were no transfers of debt between the Bank and another FHLBank. From time to time, a member of one FHLBank may be acquired by a member of another FHLBank. When such an acquisition occurs, the two FHLBanks may agree to transfer at fair value the loans of the acquired member to the FHLBank of the surviving member. The FHLBanks may also agree to the purchase and sale of any related hedging instrument. The Bank had no such activity during 2015 , 2014 and 2013 . |
Estimated Fair Values
Estimated Fair Values | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Estimated Fair Values | Estimated Fair Values Fair value amounts have been determined by the Bank using available market information and appropriate valuation methods. These estimates are based on recent market data and other pertinent information available to the Bank at December 31, 2015 and 2014 . Although the management of the Bank believes that the valuation methods are appropriate and provide a reasonable determination of the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. The carrying value and estimated fair value of the Banks’ financial instruments at December 31, 2015 and 2014 are presented in the table below. Fair Value Summary Table December 31, 2015 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 2,376,964 $ 2,376,964 $ — $ — $ — $ 2,376,964 Interest-bearing deposits 6,075 — 6,075 — — 6,075 Federal funds sold 3,980,000 — 3,979,884 — — 3,979,884 Securities purchased under agreement to resell 1,000,000 — 999,984 — — 999,984 Trading securities 394,737 5,442 389,295 — — 394,737 AFS securities 8,099,894 1,998 7,265,988 831,908 — 8,099,894 HTM securities 2,663,304 — 2,171,206 512,865 — 2,684,071 Advances 74,504,776 — 74,434,577 — — 74,434,577 Mortgage loans held for portfolio, net 3,086,855 — 3,219,846 — — 3,219,846 BOB loans, net 11,276 — — 11,276 — 11,276 Accrued interest receivable 107,345 — 107,345 — — 107,345 Derivative assets 65,855 — 70,478 — (4,623 ) 65,855 Liabilities: Deposits $ 685,937 $ — $ 685,951 $ — $ — $ 685,951 Discount notes 42,276,815 — 42,269,700 — — 42,269,700 Bonds 48,605,982 — 48,660,776 — — 48,660,776 Mandatorily redeemable capital stock (1) 6,053 6,130 — — — 6,130 Accrued interest payable (1) 92,765 — 92,688 — — 92,688 Derivative liabilities 42,508 — 331,738 — (289,230 ) 42,508 December 31, 2014 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 2,451,131 $ 2,451,131 $ — $ — $ — $ 2,451,131 Interest-bearing deposits 6,782 — 6,782 — — 6,782 Federal funds sold 4,585,000 — 4,584,981 — — 4,584,981 Trading securities 281,016 4,721 276,295 — — 281,016 AFS securities 8,408,835 1,998 7,424,055 982,782 — 8,408,835 HTM securities 3,246,788 — 2,600,638 685,909 — 3,286,547 Advances 63,408,355 — 63,471,078 — — 63,471,078 Mortgage loans held for portfolio, net 3,123,334 — 3,312,186 — — 3,312,186 BOB loans, net 11,567 — — 11,567 — 11,567 Accrued interest receivable 86,109 — 86,109 — — 86,109 Derivative assets 36,217 — 111,772 — (75,555 ) 36,217 Liabilities: Deposits $ 641,180 $ — $ 641,183 $ — $ — $ 641,183 Discount notes 37,058,118 — 37,059,347 — — 37,059,347 Bonds 43,714,510 — 43,881,951 — — 43,881,951 Mandatorily redeemable capital stock (1) 586 705 — — — 705 Accrued interest payable (1) 103,151 — 103,032 — — 103,032 Derivative liabilities 58,964 — 467,685 — (408,721 ) 58,964 Notes: (1) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. (2) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs - Unobservable inputs for the asset or liability. The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. There were no such transfers during 2015 and 2014 . Summary of Valuation Methodologies and Primary Inputs Cash and Due from Banks. The fair values equal the carrying values. Interest-Bearing Deposits. The fair value is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for interest-bearing deposits with similar terms. These instruments’ maturity term is overnight. Federal Funds Sold. The fair value of Federal funds sold is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for Federal funds with similar terms. These instruments’ maturity term is overnight. Securities Purchased Under Agreements to Resell. The fair values are determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2015 . These instruments’ maturity term is overnight. Investment Securities – non-MBS. The Bank uses the income approach to determine the estimated fair value of non-MBS investment securities. The significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves used by the Bank and the related instrument types they measure are as follows: • Treasury curve: U.S. Treasury obligations • LIBOR Swap curve: certificates of deposit • CO curve: GSEs, state and local agency, and other U.S. obligations Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from four designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. During the year, the Bank conducts reviews of the four pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures for agency and private label MBS. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes. The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. The Bank also reviewed the final fair value estimates of its private label MBS holdings as of December 31, 2015 for reasonableness using an implied yield test. On certain securities, the Bank calculated an implied yield using the estimated fair value derived from the process described above and the security’s projected cash flows from the Bank’s OTTI process and compared such yield to the market yield to dealer sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary. As of December 31, 2015 , four vendor prices were received for a majority of the Bank’s MBS holdings, and the final prices for nearly all of those securities were computed by averaging the four prices. Based on the Bank’s reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. There continues to be unobservable inputs and a lack significant market activity for private label MBS; therefore, as of December 31, 2015, the Bank classified private label MBS as Level 3. Mutual Funds Offsetting Deferred Compensation and Employee Benefit Plan Obligations. Fair values for publicly traded mutual funds are based on quoted market prices. Advances. The Bank determines the fair value by calculating the present value of expected future cash flows from the advances. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. The inputs used to determine fair value of advances are the LIBOR curve, a volatility assumption for advances with optionality, and a spread adjustment. Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Accrued Interest Receivable and Payable. The fair values approximate the carrying values. Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its uncleared derivative transactions. In addition, the Bank has entered into uncleared security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. For cleared derivatives, the Bank’s credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements. The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset, and, if negative, as a liability. The discounted cash flow analysis used to determine the fair value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: • Discount rate assumption. Overnight Index Swap (OIS) curve. • Forward interest rate assumption. LIBOR Swap Curve. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. Mortgage delivery commitments: • To Be Announced (TBA) securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement. BOB Loans. The fair value approximates the carrying value. Deposits. The Bank determines the fair value by calculating the present value of expected future cash flows from the deposits. The discount rates used in these calculations are the cost of deposits with similar terms. Substantially all of these instruments’ maturity terms are overnight. Consolidated Obligations. The Bank’s internal valuation model determines fair values of consolidated obligations bonds and discount notes by calculating the present value of expected cash flows using market-based yield curves. The inputs used to determine fair value of consolidated obligations are a CO curve and a LIBOR swap curve, a volatility assumption for consolidated obligations with optionality, and a spread adjustment. The OF constructs an internal curve, referred to as the CO curve, using the U.S. Treasury curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally its par value plus estimated dividends at the time of reclassification and any subsequently estimated dividend. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System’s cooperative structure. Commitments. For fixed-rate loan commitments, fair value considers the difference between current levels of interest rates and the committed rates. The Bank issues standby letters of credit for a fee. The unamortized fee is the letter of credit’s carrying value and represents its fair value. The fair value of the Bank’s commitments to extend credit for advances and letters of credit was immaterial at December 31, 2015 and 2014 . Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statements of Condition at December 31, 2015 and 2014 . The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount. December 31, 2015 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Recurring fair value measurements - Assets: Trading securities: GSE and TVA obligations $ — $ 389,295 $ — $ — $ 389,295 Mutual funds 5,442 — — — 5,442 Total trading securities $ 5,442 $ 389,295 $ — $ — $ 394,737 AFS securities: GSE and TVA obligations $ — $ 3,469,205 $ — $ — $ 3,469,205 State or local agency obligations — 134,120 — — 134,120 Mutual funds 1,998 — — — 1,998 Other U.S. obligations single family MBS — 268,536 — — 268,536 GSE single family MBS — 2,383,630 — — 2,383,630 GSE multifamily MBS — 1,010,497 — — 1,010,497 Private label MBS: Private label residential MBS — — 822,740 — 822,740 HELOCs — — 9,168 — 9,168 Total AFS securities $ 1,998 $ 7,265,988 $ 831,908 $ — $ 8,099,894 Derivative assets: Interest rate related $ — $ 70,225 $ — $ (4,623 ) $ 65,602 Mortgage delivery commitments — 253 — — 253 Total derivative assets $ — $ 70,478 $ — $ (4,623 ) $ 65,855 Total recurring assets at fair value $ 7,440 $ 7,725,761 $ 831,908 $ (4,623 ) $ 8,560,486 Recurring Fair Value Measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 331,738 $ — $ (289,230 ) $ 42,508 Total recurring liabilities at fair value (2) $ — $ 331,738 $ — $ (289,230 ) $ 42,508 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (3) $ — $ — $ 32,294 $ — $ 32,294 Real estate owned (3) — — 8,175 — 8,175 Total non-recurring assets at fair value $ — $ — $ 40,469 $ — $ 40,469 December 31, 2014 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Recurring fair value measurements - Assets: Trading securities: GSE and TVA Obligations $ — $ 276,295 $ — $ — $ 276,295 Mutual funds 4,721 — — — 4,721 Total trading securities $ 4,721 $ 276,295 $ — $ — $ 281,016 AFS securities: GSE and TVA securities $ — $ 3,233,703 $ — $ — $ 3,233,703 State or local agency obligations — 98,984 — — 98,984 Mutual funds 1,998 — — — 1,998 Other U.S. obligations single family MBS — 329,379 — — 329,379 GSE single family MBS — 2,882,162 — — 2,882,162 GSE multifamily MBS — 879,827 — — 879,827 Private label MBS: Private label residential MBS — — 971,083 — 971,083 HELOCs — — 11,699 — 11,699 Total AFS securities $ 1,998 $ 7,424,055 $ 982,782 $ — $ 8,408,835 Derivative assets: Interest rate related $ — $ 111,338 $ — $ (75,555 ) $ 35,783 Mortgage delivery commitments — 434 — — 434 Total derivative assets $ — $ 111,772 $ — $ (75,555 ) $ 36,217 Total recurring assets at fair value $ 6,719 $ 7,812,122 $ 982,782 $ (75,555 ) $ 8,726,068 Recurring Fair Value Measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 467,685 $ — $ (408,721 ) $ 58,964 Total recurring liabilities at fair value (2) $ — $ 467,685 $ — $ (408,721 ) $ 58,964 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. (2) Derivative liabilities represent the total liabilities at fair value. (3) These amounts were immaterial for the year ended December 31, 2014. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation. There were no transfers between Levels 1 or 2 during 2015 or 2014 . Level 3 Disclosures for all Assets and Liabilities That Are Measured at Fair Value on a Recurring Basis. The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statements of Condition using significant unobservable inputs (Level 3) for the years ended December 31, 2015 , 2014 and 2013 . For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur and transfers are reported as of the beginning of the period. During 2015 , the Bank transferred three private label MBS from its HTM portfolio to its AFS portfolio, in the period in which the OTTI charge was recorded. There were no Level 3 transfers during 2014 and 2013 . (in thousands) AFS Private Label MBS-Residential Year Ended December 31, 2015 AFS Private Label MBS- HELOCs Year Ended December 31, 2015 Balance at January 1 $ 971,083 $ 11,699 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 18,479 1,382 Net OTTI losses, credit portion (894 ) — Net unrealized (losses) on AFS in OCI (46 ) — Reclassification of non-credit portion included in net income 509 — Net change in fair value on OTTI AFS in OCI 1,185 — Unrealized (losses) on OTTI AFS in OCI (20,651 ) (859 ) Purchases, issuances, sales, and settlements: Settlements (157,211 ) (3,054 ) Transfer of OTTI securities from HTM to AFS 10,286 — Balance at December 31 $ 822,740 $ 9,168 Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2015 $ 17,585 $ 1,382 (in thousands) AFS Private Label MBS-Residential Year Ended December 31, 2014 AFS Private Label MBS-HELOCs Year Ended December 31, 2014 Balance at January 1 $ 1,123,624 $ 14,428 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 12,864 1,415 Net unrealized (losses) on AFS in OCI (127 ) — Net change in fair value on OTTI AFS in OCI 2,804 109 Unrealized gains on OTTI AFS in OCI 14,298 (402 ) Purchases, issuances, sales, and settlements: Settlements (182,380 ) (3,851 ) Transfer of OTTI securities from HTM to AFS — — Balance at December 31 $ 971,083 $ 11,699 Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2014 $ 12,864 $ 1,415 (in thousands) AFS Private Label MBS-Residential Year Ended December 31, 2013 AFS Private Label MBS-HELOCs Year Ended December 31, 2013 Balance at January 1 $ 1,410,476 $ 14,758 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income (538 ) 873 Net OTTI losses, credit portion (345 ) (97 ) Net unrealized gains on AFS in OCI 204 — Reclassification of non-credit portion included in net income 345 97 Net change in fair value on OTTI AFS in OCI 25,073 326 Unrealized gains on OTTI AFS in OCI 30,574 2,228 Purchases, issuances, sales, and settlements: Settlements (342,165 ) (3,757 ) Balance at December 31 $ 1,123,624 $ 14,428 Total amount of gains (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2013 $ (883 ) $ 776 |
Commitments and Contingencies
Commitments and Contingencies | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Commitments and Contingencies | Commitments and Contingencies The following table presents the Bank’s various off-balance sheet commitments which are described in detail below. (in thousands) December 31, 2015 December 31, 2014 Notional amount Expiration Date Within One Year Expiration Date After One Year (3) Total Total Standby letters of credit outstanding (1) (2) $ 20,171,604 $ — $ 20,171,604 $ 19,942,125 Commitments to fund additional advances and BOB loans 405,634 75,000 480,634 21,124 Commitments to fund or purchase mortgage loans 9,950 — 9,950 18,308 Unsettled consolidated obligation bonds, at par (3) 261,000 — 261,000 95,530 Unsettled consolidated obligation discount notes, at par — — — 500,000 Notes : (1) Excludes approved requests to issue future standby letters of credit of $136.4 million and $146.8 million at December 31, 2015 and 2014 , respectively. (2) $5.5 billion of these letters of credit have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of 5 years. (3) Includes $115.0 million and $83.1 million of consolidated obligation bonds which were hedged with associated interest rate swaps at December 31, 2015 and 2014 , respectively. Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized advance. Unearned fees related to standby letters of credit are recorded in other liabilities and had a balance of $5.7 million and $4.8 million as of 2015 and 2014 , respectively. The Bank monitors the creditworthiness of its standby letters of credit based on an evaluation of the member. The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit. Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in other liabilities on the Statements of Condition. The Bank does not have any legally binding or unconditional unused lines of credit for advances at December 31, 2015 and 2014 . However, within the Bank’s Open RepoPlus advance product, there were conditional lines of credit outstanding of $7.4 billion at both December 31, 2015 and 2014 respectively. Commitments to Fund or Purchase Mortgage Loans. The Bank may enter into commitments that unconditionally obligate the Bank to purchase mortgage loans under the MPF program. These delivery commitments are generally for periods not to exceed 45 days . Such commitments are recorded as derivatives. Pledged Collateral. The Bank may pledge cash and securities, as collateral, related to derivatives. Refer to Note 11 - Derivatives and Hedging Activities in this Form 10-K for additional information about the Bank's pledged collateral and other credit-risk-related contingent features. Lease Commitments. The Bank charged to operating expense net rental costs of approximately $2.1 million for each of the years 2015, 2014, and 2013 . Lease agreements for Bank premises generally provide for increases in the basic rentals resulting from increases in property taxes and maintenance expenses. Such increases are not expected to have a material effect on the Bank. The table below presents the future minimum rentals for operating leases as of December 31, 2015 . December 31, 2015 (in thousands) Premises and Equipment 2016 $ 2,017 2017 1,975 2018 1,849 2019 1,829 2020 1,861 Thereafter 8,229 Total $ 17,760 Legal Proceedings. The Bank is subject to legal proceedings arising in the normal course of business. The Bank would record an accrual for a loss contingency when it is probable that a loss has been incurred and the amount can be reasonably estimated. After consultation with legal counsel, management does not anticipate that the ultimate liability, if any, arising out of these matters will have a material effect on the Bank’s financial condition, results of operations, or cash flows. Notes 1, 8, 11, 14, 15, 16, and 18 also discuss other commitments and contingencies. |
Significant Accounting Polici30
Significant Accounting Policies (Policies) | 12 Months Ended |
Dec. 31, 2015 | |
Accounting Policies [Abstract] | |
Use of Estimates | Use of Estimates. The preparation of financial statements in accordance with GAAP requires management to make subjective assumptions and estimates that may affect the reported amounts of assets and liabilities, the disclosure of contingent assets and liabilities, and the reported amounts of income and expense. The most significant of these estimates include the fair value of derivatives and certain investment securities that are reported at fair value in the Statement of Condition, determination of other-than-temporary impairments of certain mortgage-backed securities, and the determination of the Allowance for Credit Losses. Actual results could differ from these estimates significantly. Fair Value. The fair value amounts, recorded on the Statement of Condition and in the note disclosures for the periods presented, have been determined by the Bank using available market and other pertinent information, and reflect the Bank’s best judgment of appropriate valuation methods. Although the Bank uses its best judgment in estimating the fair value of these financial instruments, there are inherent limitations in any valuation technique. Therefore, these fair values are not necessarily equal to the amounts that would be realized in current market transactions, although they do reflect the Bank’s judgment of how a market participant would estimate the fair values. See Note 19 - Estimated Fair Values for more information. |
Financial Instruments Meeting Netting Requirements | Financial Instruments Meeting Netting Requirements. The Bank presents certain financial instruments on a net basis when it has a legal right of offset and all other requirements for netting are met (collectively referred to as the netting requirements). For these financial instruments, the Bank has elected to offset its asset and liability positions, as well as cash collateral received or pledged, when it has met the netting requirements. The net exposure for these financial instruments can change on a daily basis; therefore, there may be a delay between the time this exposure change is identified and additional collateral is requested, and the time when this collateral is received or pledged. Likewise, there may be a delay between the time an exposure change is identified and the time excess collateral is returned. For derivative instruments that meet the requirements for netting, any excess cash collateral received or pledged is recognized as a derivative liability or derivative asset. See Note 11 - Derivatives and Hedging Activities for additional information. |
Interest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell | Interest-Bearing Deposits, Federal Funds Sold, and Securities Purchased under Agreements to Resell. These investments provide short-term liquidity and are carried at cost. Interest-bearing deposits include certificates of deposit and bank notes not meeting the definition of a security. Federal funds sold consist of short-term, unsecured loans made to investment-grade counterparties. The Bank records securities purchased under agreements to resell as short-term collateralized loans to a third party which are classified as assets in the Statement of Condition. Securities purchased under agreements to resell are held in safekeeping in the name of the Bank by third-party custodians approved by the Bank. Should the market value of the underlying securities decrease below the market value required as collateral, the counterparty has the option to provide additional collateral equivalent to the amount of the shortfall by (1) placing an equivalent amount of additional securities in safekeeping in the name of the Bank or (2) remitting an equivalent amount of cash; otherwise, the dollar value of the resale agreement will be decreased accordingly. |
Trading | Trading. Securities classified as trading are carried at fair value. The Bank records changes in the fair value of these investments through noninterest income as “Net gains (losses) on trading securities.” |
Available-for-Sale (AFS) | Available-for-Sale (AFS). Securities that are not classified as HTM or trading are classified as AFS and are carried at fair value. The Bank records changes in the fair value of these securities in AOCI as “Net unrealized gains (losses) on AFS securities.” However, for AFS securities that have been hedged and qualify as a fair value hedge, the Bank records the portion of the change in value related to the risk being hedged in noninterest income as “Net gains (losses) on derivatives and hedging activities” together with the related change in the fair value of the derivative, and records the remainder of the change in the fair value of the investment in AOCI as “Net unrealized gains (losses) on AFS securities.” Securities Transferred. The Bank may transfer investment securities from HTM to AFS when an OTTI credit loss has been recorded on the security. The Bank believes that a credit loss constitutes evidence of a significant decline in the issuer’s creditworthiness. The Bank transfers these securities from HTM to AFS to increase its flexibility to sell the securities if management determines it is prudent to do so. |
Held-to-Maturity (HTM) | Held-to-Maturity (HTM). Securities that the Bank has both the ability and intent to hold to maturity are classified as HTM and are carried at amortized cost, representing the amount at which an investment is acquired adjusted for periodic principal repayments, amortization of premiums and accretion of discounts. Certain changes in circumstances may cause the Bank to change its intent to hold a security to maturity without calling into question its intent to hold other debt securities to maturity. Thus, the sale or transfer of an HTM security due to certain changes in circumstances, such as evidence of significant deterioration in the issuer’s creditworthiness or changes in regulatory requirements, is not considered to be inconsistent with its original classification. Other events that are isolated, nonrecurring, and unusual for the Bank that could not have been reasonably anticipated may cause the Bank to sell or transfer an HTM security without necessarily calling into question its intent to hold other debt securities to maturity. In addition, a sale of a debt security that meets either of the following two conditions would not be considered inconsistent with the original classification of that security: (1) the sale occurs near enough to its maturity date (or call date if exercise of the call is probable) that interest-rate risk is substantially eliminated as a pricing factor and the changes in market interest rates would not have a significant effect on the security’s fair value, or (2) the sale of a security occurs after the Bank has already collected a substantial portion (at least 85%) of the principal outstanding at acquisition due either to prepayments on the debt security or to scheduled payments on a debt security payable in equal installments (both principal and interest) over its term. |
Investment Securities - OTTI | Investment Securities - OTTI. The Bank evaluates its individual AFS and HTM securities in unrealized loss positions for OTTI quarterly. A security is considered impaired when its fair value is less than its amortized cost basis. In those cases, the Bank considers an OTTI to have occurred under any of the following conditions: • it has an intent to sell the impaired debt security; • if, based on available evidence, it believes it is more likely than not that it will be required to sell the impaired debt security before the recovery of its amortized cost basis; or • it does not expect to recover the entire amortized cost basis of the impaired debt security. Recognition of OTTI. If either of the first two conditions above is met, the Bank recognizes an OTTI charge in earnings equal to the entire difference between the security’s amortized cost basis and its fair value as of the Statement of Condition date. For securities in an unrealized loss position that do not meet either of these conditions, the security is evaluated to determine the extent and amount of credit loss. To determine whether a credit loss exists, the Bank performs an analysis, which includes a cash flow test for private label mortgage-backed securities (MBS), to determine if it will recover the entire amortized cost basis of each of these securities. The present value of the cash flows expected to be collected is compared to the amortized cost basis of the debt security. If there is a credit loss (the difference between the present value of the cash flows expected to be collected and the amortized cost basis of the debt security), the carrying value of the debt security is adjusted to its fair value. However, rather than recognizing the entire difference between the amortized cost basis and fair value in earnings, only the amount of the impairment representing the credit loss (i.e., the credit component) is recognized in earnings, while the amount related to all other factors (i.e., the non-credit component) is recognized in AOCI, which is a component of capital. The credit loss on a debt security is limited to the amount of that security’s unrealized losses. The total OTTI is presented in the Statement of Income with an offset for the amount of the non-credit portion of OTTI that is recognized in AOCI. The remaining amount in the Statement of Income represents the credit loss for the period. Accounting for OTTI Recognized in AOCI. For subsequent accounting of an other-than-temporarily impaired security, the Bank records an additional OTTI if the present value of cash flows expected to be collected is less than the amortized cost of the security. The total amount of this additional OTTI (both credit and non-credit component, if any) is determined as the difference between the security’s amortized cost less the amount of OTTI recognized in AOCI prior to the determination of this additional OTTI and its fair value. Any additional credit loss is limited to that security’s unrealized losses, or the difference between the security’s amortized cost and its fair value, as of the Statement of Condition date. This additional credit loss, up to the amount in AOCI related to the security, is reclassified out of AOCI and charged to earnings. Any credit loss in excess of the related AOCI is charged to earnings. Subsequent related increases and decreases (if not an additional OTTI) in the fair value of AFS securities are netted against the non-credit component of OTTI recognized previously in AOCI. For debt securities classified as AFS, the Bank does not accrete the OTTI recognized in AOCI to the carrying value because the subsequent measurement basis for these securities is fair value. Interest Income Recognition. When a debt security has been other-than-temporarily impaired, a new accretable yield is calculated for that security at its impairment measurement date. This adjusted yield is used to calculate the interest income recognized over the remaining life of that security, matching the amount and timing of its estimated future collectible cash flows. Subsequent to that security’s initial OTTI, the Bank re-evaluates estimated future collectible cash flows on a quarterly basis. If the security has no additional OTTI based on this evaluation, the accretable yield is reassessed for possible upward adjustment on a prospective basis. The accretable yield is adjusted if there is a significant increase in the security’s expected cash flows. The Bank’s evaluation includes estimating the projected cash flows that the Bank is likely to collect based on an assessment of all available information, including the structure of the applicable security and certain assumptions, to determine whether the Bank will recover the entire amortized cost basis of the security, such as: • the remaining payment terms for the security; • prepayment speeds and default rates; • loss severity on the collateral supporting each security based on underlying loan-level borrower and loan characteristics; • expected housing price changes; and • interest-rate assumptions. To determine the amount of the credit loss, the Bank compares the present value of the cash flows expected to be collected from its private label residential MBS to its amortized cost basis. For the Bank’s private label residential MBS, the Bank uses a forward interest rate curve to project the future estimated cash flows. To calculate the present value of the estimated cash flows for fixed rate bonds the Bank uses the effective interest rate for the security prior to impairment. To calculate the present value of the estimated cash flows for variable rate and hybrid private label MBS, the Bank uses the contractual interest rate plus a fixed spread that sets the present value of cash flows equal to amortized cost before impairment. For securities previously identified as other-than-temporarily impaired, the Bank updates its estimate of future estimated cash flows on a quarterly basis and uses the previous effective rate or spread until there is a significant increase in cash flows. When the Bank determines there is a significant increase in cash flows, the effective rate is increased. The Bank evaluates its individual AFS and HTM securities in an unrealized loss position for OTTI on a quarterly basis. To ensure consistency among the FHLBanks, the Bank completes its OTTI analysis of private label MBS based on the methodologies and key modeling assumptions provided by the FHLBanks’ OTTI Governance Committee. The OTTI analysis is a cash flow analysis that is run on a common platform. The Bank performs the cash flow analysis on all of its private label MBS portfolio that have available data. Private label MBS backed by HELOCs and certain other securities are not able to be cash flow tested using the FHLBanks’ common platform. For these types of private label MBS and certain securities where underlying collateral data is not available, alternate procedures, as prescribed by the FHLBanks’ OTTI Governance Committee, are used by the Bank to assess these securities for OTTI. Securities evaluated using alternative procedures were not significant to the Bank. |
Variable Interest Entities (VIEs) | Variable Interest Entities (VIEs). The Bank has investments in VIEs that include, but are not limited to, senior interests in private label MBS. The carrying amounts and classification of the assets that relate to the Bank’s investments in VIEs are included in investment securities on the Statement of Condition. The Bank has no liabilities related to these VIEs. The maximum loss exposure for these VIEs is limited to the amortized cost of the Bank’s investments in the VIEs. If the Bank determines it is the primary beneficiary of a VIE, it would be required to consolidate that VIE. The Bank performs a quarterly evaluation to determine whether it is the primary beneficiary of any VIEs. To perform this evaluation, the Bank considers whether it has both: • the power to direct the VIE’s activities that most significantly impact the VIEs’ economic performance; and • the obligation to absorb the VIE’s losses or the right to receive benefits from the VIE that could potentially be significant to the VIE. Based on an evaluation of the above characteristics, the Bank has determined that consolidation is not required for its VIEs for the periods presented. The Bank typically does not have the power to direct the VIEs’ activities that most significantly impact the VIEs’ economic performance. In addition, the Bank has not provided financial or other support to any (explicitly or implicitly) during the periods presented. Furthermore, the Bank was not previously contractually required to provide, nor does it intend to provide, such support in the future. |
Advances | Advances. The Bank reports advances (secured loans to members, former members or housing associates) at amortized cost net of premiums and discounts (including discounts related to AHP and hedging adjustments). The Bank amortizes/accretes premiums and discounts and recognizes hedging adjustments to interest income using a contractual methodology. The Bank records interest on advances to interest income as earned. Commitment Fees. The Bank records fees for standby letters of credit as a deferred credit when the Bank receives the fee and accretes them using the straight-line method over the term of the standby letter of credit. Advance Modifications. In cases in which the Bank funds a new advance concurrent with or within a short period of time before or after the prepayment of an existing advance, the Bank evaluates whether the new advance meets the accounting criteria to qualify as a modification of an existing advance or whether it constitutes a new advance. The Bank compares the present value of cash flows on the new advance to the present value of cash flows remaining on the existing advance. If there is at least a 10% difference in the cash flows or if the Bank concludes the difference between the advances is more than minor based on a qualitative assessment of the modifications made to the advance’s original contractual terms, then the advance is accounted for as a new advance. In all other instances, the new advance is accounted for as a modification. Prepayment Fees. The Bank charges a borrower a prepayment fee when the borrower prepays certain advances before the original maturity. The Bank records prepayment fees net of adjustments related to hedging activities as “Prepayment fees on advances, net” in the interest income section of the Statement of Income. In the event that a new advance is issued in connection with a prepayment of an outstanding advance but the new advance does not qualify as a modification of an existing advance, any prepayment fee, net of hedging activities, is recorded in “Prepayment fees on advances, net.” If a new advance qualifies as a modification of an existing advance, any prepayment fee, net of hedging activities, is deferred and amortized using a level-yield methodology over the life of the modified advance to advance interest income. |
Mortgage Loans Held for Portfolio | Mortgage Loans Held for Portfolio. The Bank participates in the MPF Program under which the Bank invests in residential mortgage loans, which are purchased from members that are Participating Financial Institutions (PFIs). The Bank manages the liquidity, interest-rate risk (including prepayment risk) and optionality of the loans, while the PFI may retain the marketing and servicing activities. The Bank and the PFI share in the credit risk of the conventional loans with the Bank assuming the first loss obligation limited by the First Loss Account (FLA), while the PFI assumes credit losses in excess of the FLA, referred to as Credit Enhancement (CE) obligation, up to the amount of the CE obligation as specified in the master commitment. The Bank assumes losses in excess of the CE obligation. The Bank classifies mortgage loans that it has the intent and ability to hold for the foreseeable future as held for portfolio. Accordingly, these mortgage loans are reported net of premiums, discounts, deferred loan fees or costs, hedging adjustments, charge-offs, and the allowance for credit losses |
Premiums and Discounts | Premiums and Discounts. The Bank defers and amortizes/accretes mortgage loan premiums and discounts paid to and received from the Bank’s PFIs, deferred loan fees or costs, and hedging basis adjustments to interest income using the contractual method. CE Fees. For conventional mortgage loans, PFIs retain a portion of the credit risk on the loans they sell to the Bank by providing CE either through a direct liability to pay credit losses up to a specified amount or through a contractual obligation to provide Supplemental Mortgage Insurance (SMI). PFIs are paid a CE fee for assuming credit risk, and in some instances all or a portion of the CE fee may be performance-based. CE fees are paid monthly based on the remaining unpaid principal balance of the loans in a master commitment. CE fees are recorded as an offset to mortgage loan interest income. To the extent the Bank experiences losses in a master commitment, it may be able to recapture CE fees paid to the PFIs to offset these losses. Other Fees. The Bank may receive other non-origination fees, such as delivery commitment extension fees, pair-off fees and price adjustment fees. Delivery commitment extension fees are received when a PFI requests an extension of the delivery commitment period beyond the original stated maturity. These fees compensate the Bank for lost interest as a result of late funding and are recorded as part of the mark-to-market of the delivery commitment derivatives, and as such, eventually become basis adjustments to the mortgage loans funded as part of the delivery commitment. Pair-off fees represent a make-whole provision and are received when the amount funded is less than a specific percentage of the delivery commitment amount and are recorded in noninterest income. Price adjustment fees are received when the amount funded is greater than a specified percentage of the delivery commitment amount and represent purchase price adjustments to the related loans acquired and are recorded as a part of the loan basis. |
BOB Loans | BOB Loans. The Bank’s BOB loan program to members is targeted to small businesses in the Bank’s district of Delaware, Pennsylvania and West Virginia. The program’s objective is to assist in the growth and development of small business, including both the start-up and expansion of these businesses. The Bank makes funds available to members to extend credit to approved small business borrowers, enabling small businesses to qualify for credit that would otherwise not be available. The intent of the BOB program is for it to serve as a grant program to members to help facilitate community economic development; however, repayment provisions within the program require that the BOB program be accounted for as an unsecured loan program. Therefore, the accounting for the program follows the provisions of loan accounting whereby an asset (loan receivable) is recorded for disbursements to members and an allowance for credit losses is estimated and established through provision for credit losses. As the members collect directly from the borrowers, the members remit repayment of the loans to the Bank as stated in the agreements. If the business is unable to repay the loan, it may be forgiven at the member’s request, subject to the Bank’s approval, at which time the BOB loan is charged off. The Bank places a BOB loan that is delinquent or deferred on non-accrual status and ceases to accrue interest income, and accrued but uncollected interest is reversed. At times, the Bank permits a borrower to defer payment of principal and interest for up to one year. A BOB loan may be restored to accrual when none of its contractual principal and interest due are unpaid. |
Allowance for Credit Losses | Allowance for Credit Losses. Establishing Allowance for Credit Loss. An allowance for credit losses is a valuation allowance separately established for each identified portfolio segment, if it is probable that impairment has occurred in the Bank’s portfolio as of the Statement of Condition date and the amount of loss can be reasonably estimated. To the extent necessary, an allowance for credit losses for off-balance sheet credit exposures is recorded as a liability. Portfolio Segments . A portfolio segment is defined as the level at which an entity develops and documents a systematic methodology for determining its allowance for credit losses. The Bank has developed and documented a systematic methodology for determining an allowance for credit losses, where applicable, for: (1) advances, letters of credit and other extensions of credit to members, collectively referred to as credit products; (2) government-guaranteed or insured mortgage loans held for portfolio; (3) conventional MPF loans held for portfolio; and (4) BOB loans. Classes of Financing Receivables . Classes of financing receivables generally are a disaggregation of a portfolio segment to the extent that disaggregation is needed to understand the exposure to credit risk arising from these financing receivables. The Bank determined that no further disaggregation of the portfolio segments is needed as the credit risk arising from these financing receivables is assessed and measured by the Bank at the portfolio segment level. The Bank has established an allowance methodology for each of the Bank’s portfolio segments: credit products, government-guaranteed or insured mortgage loans held for portfolio, conventional MPF loans held for portfolio, and BOB loans. Credit Products . The Bank manages its total credit exposure (TCE), which includes advances, letters of credit, advance commitments, and other credit product exposure, through an integrated approach. This approach generally calls for a credit limit to be established for each borrower, includes an ongoing review of each borrower’s financial condition and is coupled with collateral and lending policies to limit risk of loss while balancing each borrower’s need for a reliable source of funding. In addition, the Bank lends to its members in accordance with the FHLBank Act and Finance Agency regulations. Specifically, the FHLBank Act requires the Bank to obtain collateral to fully secure credit products. The estimated value of the collateral required to secure each member’s credit products is calculated by applying collateral weightings, or haircuts, to the value of the collateral. The Bank accepts cash, certain investment securities, residential mortgage loans, deposits, and other real estate related assets as collateral. In addition, Community Financial Institutions (CFIs) are eligible to utilize expanded statutory collateral provisions for small business, agriculture, and community development loans. The Bank’s capital stock owned by the borrowing member is pledged as secondary collateral. Collateral arrangements may vary depending upon borrower credit quality, financial condition and performance, borrowing capacity, and overall credit exposure to the borrower. The Bank can require additional or substitute collateral to help ensure that credit products continue to be secured by adequate collateral. Management of the Bank believes that these policies effectively manage the Bank’s credit risk from credit products. Based upon the financial condition of the member, the Bank either allows a member to retain physical possession of the collateral assigned to the Bank or requires the member to specifically deliver physical possession or control of the collateral to the Bank or its custodians. However, regardless of the member’s financial condition, the Bank always takes possession or control of securities used as collateral if they are used for maximum borrowing capacity (MBC) or to secure advances. The Bank perfects its security interest in all pledged collateral. The FHLBank Act affords any security interest granted to the Bank by a member (or an affiliate of a member) priority over the claims or rights of any other party except for claims or rights of a third party that would be otherwise entitled to priority under applicable law and that are held by a bona fide purchaser for value or by a secured party holding a prior perfected security interest. Using a risk-based approach, the Bank considers the payment status, collateral types and concentration levels, and borrower’s financial condition to be indicators of credit quality on its credit products. At December 31, 2015 and December 31, 2014 , the Bank had rights to collateral on a member-by-member basis with a value in excess of its outstanding extensions of credit. The Bank continues to evaluate and, as necessary, make changes to its collateral guidelines based on current market conditions. At December 31, 2015 and December 31, 2014 , the Bank did not have any credit products that were past due, on nonaccrual status, or considered impaired. In addition, the Bank did not have any credit products considered to be troubled debt restructurings (TDRs). Based upon the collateral held as security, its credit extension policies, collateral policies, management’s credit analysis and the repayment history on credit products, the Bank has not incurred any credit losses on credit products since inception. Accordingly, the Bank has not recorded any allowance for credit losses for these products. Additionally, at December 31, 2015 and December 31, 2014 , the Bank has not recorded any allowance for credit losses for off-balance sheet credit products. Mortgage Loans - Government-Guaranteed or Insured. The Bank invests in government-guaranteed or insured fixed-rate mortgage loans secured by one-to-four family residential properties. Government-guaranteed mortgage loans are those insured or guaranteed by the Federal Housing Administration (FHA), Department of Veterans Affairs (VA), the Rural Housing Service (RHS) of the Department of Agriculture and/or by Housing and Urban Development (HUD). Any losses from such loans are expected to be recovered from those entities. If not, losses from such loans must be contractually absorbed by the servicers. Therefore, there is no allowance for credit losses on government-guaranteed or insured mortgage loans. Mortgage Loans - Conventional MPF. The allowances for conventional loans are determined by analyses that include consideration of various data observations such as past performance, current performance, loan portfolio characteristics, collateral-related characteristics, industry data, and prevailing economic conditions. The measurement of the allowance for credit losses includes: (1) reviewing all residential mortgage loans at the individual master commitment level; (2) reviewing specifically identified collateral-dependent loans for impairment; and/or (3) reviewing homogeneous pools of residential mortgage loans. The Bank’s allowance for credit losses takes into consideration the CE associated with conventional mortgage loans under the MPF Program. Specifically, the determination of the allowance generally considers expected Primary Mortgage Insurance (PMI), Supplemental Mortgage Insurance (SMI), and other CE amounts. Any incurred losses that are expected to be recovered from the CE reduce the Bank’s allowance for credit losses. For conventional MPF loans, credit losses that are not fully covered by PMI are allocated to the Bank up to an agreed-upon amount, referred to as the FLA. The FLA functions as a tracking mechanism for determining the point after which the PFI is required to cover losses. The Bank pays the PFI a fee, a portion of which may be based on the credit performance of the mortgage loans, in exchange for absorbing the second layer of losses up to an agreed-upon CE amount. The CE amount may be a direct obligation of the PFI and/or an SMI policy paid for by the PFI, and may include performance-based fees which can be withheld to cover losses allocated to the Bank (referred to as recaptured CE fees). The PFI is required to pledge collateral to secure any portion of its CE amount that is a direct obligation. A receivable which is assessed for collectability is generally established for losses expected to be recovered by withholding CE fees. |
Nonaccrual Loans | Nonaccrual Loans . The Bank places a conventional mortgage loan on nonaccrual status if it is determined that either (1) the collection of interest or principal is doubtful or (2) interest or principal is past due for 90 days or more, except when the loan is well-secured (e.g., through CE) and in the process of collection. For those mortgage loans placed on nonaccrual status, accrued but uncollected interest is charged against interest income. The Bank records cash payments received as a reduction of principal because the collection of the remaining principal amount due is considered doubtful and cash payments received are applied first solely to principal until the remaining principal amount due is expected to be collected and then as a recovery of any charge-off, if applicable, followed by recording interest income. A loan on nonaccrual status may be restored to accrual when (1) none of its contractual principal and interest is due and unpaid, and the Bank expects repayment of the remaining contractual interest and principal or (2) it otherwise becomes well secured and in the process of collection. Troubled Debt Restructuring. The Bank considers a troubled debt restructuring to have occurred when a concession is granted to a borrower for economic or legal reasons related to the borrower’s financial difficulties and that concession would not have been considered otherwise, such as a loan modification. Loans that are discharged in Chapter 7 bankruptcy and have not been reaffirmed by the borrowers are also considered to be troubled debt restructurings, except in cases where all contractual amounts due are expected to be collected as a result of government guarantees or insurance. Impairment Methodology . A loan is considered impaired when, based on current information and events, it is probable that the Bank will be unable to collect all amounts due according to the contractual terms of the loan agreement. Loans that are considered collateral-dependent are measured for impairment based on the fair value of the underlying property less estimated selling costs. Loans are considered collateral-dependent if repayment is expected to be provided solely by the sale of the underlying property; that is, there is no other available and reliable source of repayment. The Bank considers its impaired loans to be collateral-dependent. Collateral-dependent loans are impaired if the fair value of the underlying collateral is insufficient to recover the unpaid principal balance on the loan. Interest income on impaired loans is recognized in the same manner as non-accrual loans. Charge-off Policy . A charge-off is recorded if it is estimated that the recorded investment in a loan will not be recovered. The Bank evaluates whether to record a charge-off on a conventional mortgage loan upon the occurrence of a confirming event. Confirming events include, but are not limited to, the occurrence of foreclosure, notification of a claim against any of the CE, a loan that is 180 or more days delinquent, or certain loans for which the borrower has filed for bankruptcy. If the loss is expected to be recovered through CE, the Bank recognizes a CE fee receivable for the amount of the loss and assesses it for collectability along with the mortgage loans. The CE fee receivable is recorded in other assets. |
Real Estate Owned (REO) | Real Estate Owned (REO). REO includes assets that have been received in satisfaction of debt through foreclosures. REO is initially recorded at fair value less estimated selling costs and is subsequently carried at the lower of that amount or current fair value less estimated selling costs. The Bank recognizes a charge-off to the allowance for credit losses or CE fee receivable if the fair value of the REO less estimated selling costs is less than the recorded investment in the loan at the date of transfer from loans to REO. Any subsequent realized gains, realized or unrealized losses and carrying costs are included in other noninterest expense in the Statement of Income. REO is recorded in other assets on the Statement of Condition |
Derivatives | Derivatives. All derivatives are recognized on the Statement of Condition at their fair values and are reported as either derivative assets or derivative liabilities, net of cash collateral, including initial and variation margin, and accrued interest received from or pledged to clearing agents and/or counterparties. The fair values of derivatives are netted by clearing agent and/or counterparty when the netting requirements have been met. If these netted amounts are positive, they are classified as an asset and, if negative, they are classified as a liability. Cash flows associated with derivatives are reflected as cash flows from operating activities in the Statement of Cash Flows unless the derivative meets the criteria to be a financing derivative. Derivative Designations. Each derivative is designated as either: • a qualifying hedge of the change in fair value of a recognized asset or liability or an unrecognized firm commitment (a fair value hedge); or • a non-qualifying hedge (an economic hedge) for asset and liability management purposes. Accounting for Fair Value Hedges . If hedging relationships meet certain criteria, including, but not limited to, formal documentation of the hedging relationship, and are expected to be highly effective, they qualify for fair value accounting and the offsetting changes in fair value of the hedged items may be recorded in earnings. Two approaches that the Bank uses for hedge accounting are: • Long-haul hedge accounting. The application of long-haul hedge accounting requires the Bank to formally assess (both at the hedge’s inception and at least quarterly) whether the derivatives that are used in hedging transactions have been effective in offsetting changes in the fair value of hedged items attributable to the hedged risk or forecasted transactions and whether those derivatives may be expected to remain effective in future periods. • Short-cut hedge accounting. Transactions that meet certain criteria qualify for the short-cut method of hedge accounting in which an assumption can be made that the change in fair value of a hedged item, due to changes in the benchmark rate, exactly offsets the change in fair value of the related derivative. Under the short-cut method, the entire change in fair value of the interest rate swap is considered to be effective at achieving offsetting changes in fair values of the hedged asset or liability. Fair value derivatives are typically executed at the same time as the hedged item, and the Bank designates the hedged item in a qualifying hedge relationship at the trade date. In many hedging relationships, the Bank may designate the hedging relationship upon its commitment to disburse an advance or trade a consolidated obligation in which settlement occurs within normal market settlement conventions. The Bank then records the changes in fair value of the derivative and the hedged item beginning on the trade date. Changes in the fair value of a derivative that is designated and qualifies as a fair value hedge, along with changes in the fair value of the hedged asset or liability that are attributable to the hedged risk, are recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.” For fair value hedges, any hedge ineffectiveness (which represents the amount by which the change in the fair value of the derivative differs from the change in the fair value of the hedged item attributable to the hedged risk) is recorded in other noninterest income as “Net gains (losses) on derivatives and hedging activities.” Accounting for Economic Hedges. An economic hedge is defined as a derivative hedging specific or non-specific underlying assets, liabilities or firm commitments that does not qualify or was not designated for fair value hedge accounting, but is an acceptable hedging strategy under the Bank’s risk management program. These economic hedging strategies also comply with Finance Agency regulatory requirements prohibiting speculative hedge transactions. An economic hedge by definition introduces the potential for earnings variability caused by the changes in fair value of the derivatives that are recorded in the Bank’s income. As a result, the Bank recognizes the net interest and the change in fair value of these derivatives in other noninterest income as “Net gains (losses) on derivatives and hedging activities” with no offsetting fair value adjustments for the economically hedged assets, liabilities, or firm commitments. Accrued Interest Receivables and Payables. The net settlements of interest receivables and payables related to derivatives designated in fair value hedge relationships are recognized as adjustments to the income or expense of the designated hedged item. Discontinuance of Hedge Accounting. The Bank discontinues hedge accounting prospectively when: (1) it determines that the derivative is no longer effective in offsetting changes in the fair value of a hedged item attributable to the hedged risk (including hedged items such as firm commitments ); (2) the derivative and/or the hedged item expires or is sold, terminated, or exercised; (3) a hedged firm commitment no longer meets the definition of a firm commitment; or (4) management determines to no longer designate the derivative as a hedging instrument (i.e., de-designation). When hedge accounting is discontinued on a fair value hedge, the Bank either terminates the derivative or continues to carry the derivative on the Statement of Condition at its fair value, ceases to adjust the hedged asset or liability for changes in fair value, and amortizes the cumulative basis adjustment on the hedged item into earnings over the remaining life of the hedged item using a level-yield methodology. When hedge accounting is discontinued because the hedged item no longer meets the definition of a firm commitment, the Bank continues to carry the derivative on the Statement of Condition at its fair value, removing from the Statement of Condition any asset or liability that was recorded to recognize the firm commitment and recording it as a gain or loss in current period earnings. Managing Credit Risk on Derivatives. The Bank is subject to credit risk due to the risk of nonperformance by counterparties to its derivative transactions. The Bank manages counterparty credit risk through credit analysis, collateral requirements, and adherence to the requirements set forth in its policies, U.S. Commodity Futures Trading Commission regulations, and Finance Agency regulations. For uncleared derivatives, the degree of credit risk depends on the extent to which netting arrangements are included in such contracts to mitigate the risk. The Bank requires collateral agreements with collateral delivery thresholds on all uncleared derivatives. For cleared derivatives, the Clearing Houses are the Bank's counterparties. The Clearing House notifies the clearing agent of the required initial and variation margin. The requirement that the Bank post initial and variation margin through the clearing agent, which notifies the FHLBank on behalf of the Clearing Houses, exposes the Bank to institutional credit risk in the event that the clearing agent or the Clearing Houses fail to meet their respective obligations. Initial margin is the amount calculated based on anticipated exposure to future changes in the value of a swap and protects the Clearing Houses from market risk in the event of default by one of their respective clearing agents. Variation margin is the amount calculated to cover the current exposure arising from changes in the market value of the position since the trade was executed or the previous time the position was marked to market. The use of cleared derivatives is intended to mitigate credit risk exposure because a central counterparty is substituted for individual counterparties and collateral is posted daily, through a clearing agent, for changes in the fair value of cleared derivatives. The Bank has analyzed the enforceability of offsetting rights incorporated in its cleared derivative transactions and determined that the exercise of those offsetting rights by a non-defaulting party under these transactions should be upheld under applicable law upon an event of default including a bankruptcy, insolvency or similar proceeding involving the Clearing Houses or the Bank’s clearing agent, or both. Based on this analysis, the Bank presents a net derivative receivable or payable for all of its transactions through a particular clearing agent with a particular Clearing House. Based on credit analyses and collateral requirements, the Bank does not anticipate credit losses related to its derivative agreements. See Note 19 - Estimated Fair Values for discussion regarding the Bank's fair value methodology for derivative assets and liabilities, including an evaluation of the potential for the fair value of these instruments to be affected by counterparty credit risk. |
Embedded Derivatives | Embedded Derivatives. The Bank may issue debt, make advances, or purchase financial instruments in which a derivative instrument is “embedded.” Upon execution of these transactions, the Bank assesses whether the economic characteristics of the embedded derivative are clearly and closely related to the economic characteristics of the remaining component of the advance, debt or purchased financial instrument (the host contract) and whether a separate, non-embedded instrument with the same terms as the embedded instrument would meet the definition of a derivative instrument. The embedded derivative is separated from the host contract, carried at fair value, and designated as a stand-alone derivative instrument (pursuant to an economic hedge) when the Bank determines that: (1) the embedded derivative has economic characteristics that are not clearly and closely related to the economic characteristics of the host contract and (2) a separate, stand-alone instrument with the same terms would qualify as a derivative instrument. However, if the entire contract (the host contract and the embedded derivative) is to be measured at fair value, with changes in fair value reported in current period earnings (such as an investment security classified as “trading” as well as hybrid financial instruments that are eligible for the fair value option), or if the Bank cannot reliably identify and measure the embedded derivative for purposes of separating that derivative from its host contract, the entire contract is carried at fair value and no portion of the contract is designated as a hedging instrument. The Bank currently does not have any instruments containing embedded derivatives that are not clearly and closely related to the economic characteristics of the host contract. |
Premises, Software and Equipment | Premises, Software and Equipment. The Bank records premises, software and equipment at cost less accumulated depreciation and amortization and computes depreciation using the straight-line method over the estimated useful lives of assets, which range from one to ten years. The Bank amortizes leasehold improvements using the straight-line method over the shorter of the estimated useful life of the improvement or the remaining term of the lease. The Bank capitalizes improvements and major renewals but expenses ordinary maintenance and repairs when incurred. The Bank includes gains and losses on the disposal of premises, software and equipment in “Other noninterest income (loss).” The cost of computer software developed or obtained for internal use is capitalized and amortized over its useful life. |
Consolidated Obligations | Consolidated Obligations. Consolidated obligations are recorded at amortized cost. Discounts and Premiums. The Bank accretes/amortizes the discounts and premiums as well as hedging basis adjustments on consolidated obligations to interest expense using the interest method over the term to maturity of the consolidated obligation. Concessions . The Bank pays concessions to dealers in connection with the issuance of certain consolidated obligations. The OF prorates the amount of the concession to the Bank based upon the percentage of the debt issued that is assumed by the Bank. Concessions paid on consolidated obligations are deferred and amortized using the interest method, over the term to maturity of the consolidated obligation. Unamortized concessions are included in other assets, and the amortization of such concessions is included in consolidated obligation interest expense. |
Mandatorily Redeemable Capital Stock | Mandatorily Redeemable Capital Stock. The Bank reclassifies stock subject to redemption from capital stock to a liability after a member provides written notice of redemption, gives notice of intention to withdraw from membership, or attains non-member status by merger or acquisition, charter termination or other involuntary termination from membership, because the member’s shares will then meet the definition of a mandatorily redeemable financial instrument. Shares meeting this definition are reclassified to a liability at fair value, which is par plus estimated dividends. Dividends declared on shares classified as a liability are accrued at the expected dividend rate and reflected as interest expense in the Statement of Income. The repurchase or redemption of mandatorily redeemable capital stock is reflected as a financing cash outflow in the Statement of Cash Flows. If a member cancels its written notice of redemption or notice of withdrawal, the Bank will reclassify mandatorily redeemable capital stock from liabilities to capital. After the reclassification, dividends on the capital stock will no longer be classified as interest expense. |
Restricted Retained Earnings (RRE) | Restricted Retained Earnings (RRE). In accordance with the Joint Capital Enhancement Agreement (JCEA) entered into by the Bank, as amended, the Bank contributes 20% of its quarterly net income to a separate restricted retained earnings account until the account balance equals at least one percent of the Bank’s average balance of outstanding consolidated obligations for the previous quarter. These restricted retained earnings are not available to pay dividends and are presented separately on the Statement of Condition. See Note 16 - Capital for more information. Each FHLBank is required to contribute 20% of its net income each quarter to a RRE account until the balance of that account equals at least 1% of that FHLBank’s average balance of outstanding consolidated obligations for the previous quarter. These RRE will not be available to pay dividends. At December 31, 2015 , retained earnings were $881.2 million , including $718.7 million of unrestricted retained earnings and $162.5 million of RRE. |
Gains on Litigation Settlements, Net | Gains on Litigation Settlements, Net. Litigation settlement gains, net of related legal fees and expenses, are recorded in noninterest income as “Gains on litigation settlements, net” in the Statement of Income. A litigation settlement gain is considered realized and recorded when the Bank receives cash or assets that are readily convertible to known amounts of cash or claims to cash. In addition, a litigation settlement gain is considered realizable and recorded when the Bank enters into a signed agreement that is not subject to appeal, where the counterparty has the ability to pay, and the amount to be received can be reasonably estimated. The related legal expenses are contingent-based fees and are only incurred and recorded upon a litigation settlement gain. |
Finance Agency Expenses | Finance Agency Expenses. The Bank, along with the other 10 FHLBanks, funds the costs of operating the Finance Agency. The portion of the Finance Agency’s expenses and working capital fund paid by the FHLBanks are allocated among the FHLBanks based on the pro rata share of the annual assessments (which are based on the ratio between each FHLBank’s minimum required regulatory capital and the aggregate minimum required regulatory capital of every FHLBank). |
Office of Finance Expenses | Office of Finance Expenses. The Bank’s proportionate share of the OF operating and capital expenditures is calculated using a formula based upon the following components: (1) two-thirds based upon its share of total consolidated obligations outstanding and (2) one-third based upon an equal pro-rata allocation. |
AHP Assesment | AHP Assessment. The FHLBank Act requires each FHLBank to establish and fund an AHP, providing subsidies to members to assist in the purchase, construction, or rehabilitation of housing for very low-to-moderate-income households. As allowed per AHP regulations, the Bank can elect to allot fundings based on future periods’ required AHP contributions (referred to as Accelerated AHP). The Accelerated AHP allows the Bank to commit and disburse AHP funds to meet the Bank’s mission when it would otherwise be unable to do so based on its normal funding mechanism. The Bank charges the required funding for AHP to earnings and establishes a liability. The Bank primarily makes the AHP subsidy available to members as a grant. Alternatively, the Bank could provide the member with an interest rate below a normal advance rate based on the present value of the difference between an AHP advance rate and the Bank’s cost of funds. If the Bank provides a discounted interest rate, this discount is accreted to interest income using the contractual method over the life of the advance. See Note 15 - AHP for more information. |
Earnings per Share | Earnings per Share. Basic earnings per share of capital stock is computed on the basis of weighted average number of shares of capital stock outstanding. Mandatorily redeemable capital stock is excluded from the calculation. The Bank does not have diluted earnings per share because it has no financial instruments convertible to capital stock. |
Collectively Evaluated Mortgage Loans | Collectively Evaluated Mortgage Loans. The Bank collectively evaluates the homogeneous mortgage loan portfolio for impairment. The allowance for credit loss methodology for mortgage loans considers loan pool specific attribute data, applies loss severities and incorporates the CEs of the MPF Program and PMI. The probability of default and loss given default are based on the actual 12-month historical performance of the Bank’s mortgage loans. Actual probability of default was determined by applying migration analysis to categories of mortgage loans (current, 30 days past due, 60 days past due, and 90 days past due). Actual loss given default was determined based on realized losses incurred on the sale of mortgage loan collateral over the previous 12 months. The resulting estimated losses are reduced by the CEs the Bank expects to be eligible to receive. The CEs are contractually set and calculated by a master commitment agreement between the Bank and the PFI. Losses in excess of the CEs are incurred by the Bank. Individually Evaluated Mortgage Loans. The Bank evaluates certain conventional mortgage loans for impairment individually. Prior to January 1, 2014, these loans were limited to TDRs. Beginning January 1, 2014, the Bank adopted the classification provisions required by AB 2012-02 as described in Note 2 - Accounting Adjustments, Changes in Accounting Principle and Recently Issued Accounting Standards and Interpretations. As a result, the population of individually evaluated mortgage loans expanded to include impaired loans considered collateral-dependent loans where repayment is expected to be provided by the sale of the underlying property, which primarily consists of MPF loans that are 180 days or more delinquent and other loans where the borrower has filed for bankruptcy. The estimated credit losses on impaired collateral-dependent loans are separately determined because sufficient information exists to make a reasonable estimate of the inherent loss for such loans on an individual basis. The incurred loss on each loan is equal to the difference between the carrying value of the loan and the estimated fair value of the collateral less estimated selling costs and recovery through PMI. The estimated fair value is determined based on a value provided by a third party's retail-based Automated Valuation Model (AVM). The Bank adjusts the AVM based on the amount it has historically received on liquidations. During 2014, the resulting loss was reduced by available CE. Beginning January 1, 2015, the Bank adopted the charge-off provisions of AB 2012-02. As a result, the estimated credit loss on individually evaluated MPF loans is charged-off against the reserve. However, if the estimated loss can be recovered through CE, a receivable is established, resulting in a net charge-off. The CE receivable is evaluated for collectibility, and a reserve, included as part of the allowance for credit losses, is established if required |
Qualified Defined Benefit Multiemployer Plan | Qualified Defined Benefit Multiemployer Plan. The Bank participates in the Pentegra Defined Benefit Plan for Financial Institutions (Defined Benefit Plan), a tax qualified defined benefit pension plan. The Defined Benefit Plan is treated as a multiemployer plan for accounting purposes, but operates as a multiple-employer plan under the Employee Retirement Income Security Act of 1974 (ERISA) and the Internal Revenue Code (IRC). As a result, certain multiemployer plan disclosures are not applicable to the Defined Benefit Plan. Under the Defined Benefit Plan, contributions made by a participating employer may be used to provide benefits to employees of other participating employers because assets contributed by an employer are not segregated in a separate account or restricted to provide benefits only to employees of that employer. Also, in the event a participating employer is unable to meet its contribution requirements, the required contributions for the other participating employers could increase proportionately. The plan covers substantially all officers and employees of the Bank that meet certain eligibility requirements. The Defined Benefit Plan operates on a fiscal year from July 1 through June 30 . The Defined Benefit Plan files one Form 5500 on behalf of all employers who participate in the plan. The Employer Identification Number is 13-5645888 , and the three-digit plan number is 333 . There are no collective bargaining agreements in place at the Bank. The Defined Benefit Plan’s annual valuation process includes calculating the plan’s funded status and separately calculating the funded status of each participating employer. The funded status is defined as the market value of the plan’s assets divided by the funding target (100% of the present value of all benefit liabilities accrued at that date). During 2012, the calculation of the discount rate used to determine the funding target was changed by the Moving Ahead for Progress in the 21st Century Act (MAP-21). Certain provisions of MAP-21 were extended in 2014. MAP-21 resulted in a higher discount rate, which increased the Bank’s funded status significantly. As permitted by ERISA, the Defined Benefit Plan accepts contributions for the prior plan year up to eight and a half months after the asset valuation date. As a result, the market value of assets at the valuation date (July 1) will increase by any subsequent contributions designated for the immediately preceding plan year ended June 30 that the plan’s participants may choose to make. The most recent Form 5500 available for the Defined Benefit Plan is for the fiscal year ended June 30, 2014. The Bank’s contributions to the Defined Benefit Plan during 2015 were less than 5% of total plan contributions during the plan year ended June 30, 2014. The Bank’s contributions to the Defined Benefit Plan during 2014 were more than 5% of total plan contributions. (dollars in thousands) 2015 2014 2013 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 4,687 $ 7,247 $ 8,876 Defined Benefit Plan funded status as of July 1 106.9 % (a) 111.4 % (b) 101.3 % Bank’s funded status as of July 1 126.7 % 128.6 % 107.8 % |
Fair Value Hierarchy | Fair Value Hierarchy. The fair value hierarchy is used to prioritize the inputs used to measure fair value for those assets and liabilities carried at fair value. The inputs are evaluated and an overall level for the fair value measurement is determined. This overall level is an indication of the market observability of the fair value measurement for the asset or liability. The fair value hierarchy prioritizes the inputs used to measure fair value into three broad levels: Level 1 Inputs - Quoted prices (unadjusted) for identical assets or liabilities in an active market that the reporting entity can access on the measurement date. Level 2 Inputs - Inputs other than quoted prices within Level 1 that are observable inputs for the asset or liability, either directly or indirectly. If the asset or liability has a specified (contractual) term, a Level 2 input must be observable for substantially the full term of the asset or liability. Level 2 inputs include the following: (1) quoted prices for similar assets or liabilities in active markets; (2) quoted prices for identical or similar assets or liabilities in markets that are not active or in which little information is released publicly; (3) inputs other than quoted prices that are observable for the asset or liability (e.g., interest rates and yield curves that are observable at commonly quoted intervals, and implied volatilities); and (4) inputs that are derived principally from or corroborated by observable market data by correlation or other means. Level 3 Inputs - Unobservable inputs for the asset or liability. The Bank reviews its fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation inputs may result in a reclassification of certain assets or liabilities. These reclassifications are reported as transfers in/out as of the beginning of the quarter in which the changes occur. |
Fair Value of Financial Instruments | Cash and Due from Banks. The fair values equal the carrying values. Interest-Bearing Deposits. The fair value is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for interest-bearing deposits with similar terms. These instruments’ maturity term is overnight. Federal Funds Sold. The fair value of Federal funds sold is determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for Federal funds with similar terms. These instruments’ maturity term is overnight. Securities Purchased Under Agreements to Resell. The fair values are determined by calculating the present value of the future cash flows. The discount rates used in these calculations are the rates for securities with similar terms. Based on the fair value of the related collateral held, the securities purchased under agreements to resell were fully collateralized for the periods presented. There were no offsetting liabilities related to these securities at December 31, 2015 . These instruments’ maturity term is overnight. Investment Securities – non-MBS. The Bank uses the income approach to determine the estimated fair value of non-MBS investment securities. The significant inputs include a market-observable interest rate curve and a discount spread, if applicable. The market-observable interest rate curves used by the Bank and the related instrument types they measure are as follows: • Treasury curve: U.S. Treasury obligations • LIBOR Swap curve: certificates of deposit • CO curve: GSEs, state and local agency, and other U.S. obligations Investment Securities – MBS. To value MBS holdings, the Bank obtains prices from four designated third-party pricing vendors, when available. The pricing vendors use various proprietary models to price MBS. The inputs to those models are derived from various sources including, but not limited to: benchmark yields, reported trades, dealer estimates, issuer spreads, benchmark securities, bids, offers and other market-related data. Since many MBS do not trade on a daily basis, the pricing vendors use available information such as benchmark curves, benchmarking of like securities, sector groupings and matrix pricing to determine the prices for individual securities, as applicable. Each pricing vendor has an established challenge process in place for all MBS valuations, which facilitates resolution of potentially erroneous prices identified by the Bank. During the year, the Bank conducts reviews of the four pricing vendors to enhance its understanding of the vendors' pricing processes, methodologies and control procedures for agency and private label MBS. To the extent available, the Bank also reviews the vendors' independent auditors' reports regarding the internal controls over their valuation processes. The Bank's valuation technique first requires the establishment of a median price for each security. All prices that are within a specified tolerance threshold of the median price are included in the cluster of prices that are averaged to compute a default price. Prices that are outside the threshold (outliers) are subject to further analysis (including, but not limited to, comparison to prices provided by an additional third-party valuation service, prices for similar securities, and/or non-binding dealer estimates) to determine if an outlier is a better estimate of fair value. If an outlier (or some other price identified in the analysis) is determined to be a better estimate of fair value, then the outlier (or the other price as appropriate) is used as the final price rather than the default price. If, on the other hand, the analysis confirms that an outlier (or outliers) is (are) in fact not representative of fair value and the default price is the best estimate, then the default price is used as the final price. In all cases, the final price is used to determine the fair value of the security. If all prices received for a security are outside the tolerance threshold level of the median price, then there is no default price, and the final price is determined by an evaluation of all outlier prices as described above. The Bank also reviewed the final fair value estimates of its private label MBS holdings as of December 31, 2015 for reasonableness using an implied yield test. On certain securities, the Bank calculated an implied yield using the estimated fair value derived from the process described above and the security’s projected cash flows from the Bank’s OTTI process and compared such yield to the market yield to dealer sources to the extent comparable market yield data was available. This analysis did not indicate that any adjustments to the fair value estimates were necessary. As of December 31, 2015 , four vendor prices were received for a majority of the Bank’s MBS holdings, and the final prices for nearly all of those securities were computed by averaging the four prices. Based on the Bank’s reviews of the pricing methods including inputs and controls employed by the third-party pricing vendors and the relative lack of dispersion among the vendor prices (or, in those instances in which there were outliers or significant yield variances, the Bank’s additional analyses), the Bank believes the final prices are representative of the prices that would have been received if the assets had been sold at the measurement date (i.e., exit prices) and further that the fair value measurements are classified appropriately in the fair value hierarchy. There continues to be unobservable inputs and a lack significant market activity for private label MBS; therefore, as of December 31, 2015, the Bank classified private label MBS as Level 3. Mutual Funds Offsetting Deferred Compensation and Employee Benefit Plan Obligations. Fair values for publicly traded mutual funds are based on quoted market prices. Advances. The Bank determines the fair value by calculating the present value of expected future cash flows from the advances. The discount rates used in these calculations are equivalent to the replacement advance rates for advances with similar terms. The inputs used to determine fair value of advances are the LIBOR curve, a volatility assumption for advances with optionality, and a spread adjustment. Mortgage Loans Held For Portfolio. The fair value is determined based on quoted market prices for new MBS issued by U.S. GSEs. Prices are then adjusted for differences in coupon, seasoning and credit quality between the Bank’s mortgage loans and the referenced MBS. The prices of the referenced MBS are highly dependent upon the underlying prepayment assumptions priced in the secondary market. Accrued Interest Receivable and Payable. The fair values approximate the carrying values. Derivative Assets/Liabilities. The Bank bases the fair values of derivatives with similar terms on market prices, when available. However, market prices do not exist for many types of derivative instruments. Consequently, fair values for these instruments are estimated using standard valuation techniques such as discounted cash flow analysis and comparisons to similar instruments. Estimates developed using these methods are highly subjective and require judgment regarding significant matters such as the amount and timing of future cash flows, volatility of interest rates and the selection of discount rates that appropriately reflect market and credit risks. The Bank is subject to credit risk on uncleared derivatives transactions due to the potential nonperformance by the derivatives counterparties. To mitigate this risk, the Bank has entered into netting arrangements for its uncleared derivative transactions. In addition, the Bank has entered into uncleared security agreements with all active derivatives counterparties that provide for delivery of collateral at specified levels tied to those counterparties’ credit ratings to limit the Bank’s net unsecured credit exposure to these counterparties. For cleared derivatives, the Bank’s credit risk exposure is mitigated because a central counterparty is substituted for individual counterparties and collateral is posted daily for changes in the value of cleared derivatives. The Bank has evaluated the potential for the fair value of the instruments to be affected by counterparty credit risk and has determined that no adjustments were significant or necessary to the overall fair value measurements. The fair values of the Bank’s derivative assets and liabilities include accrued interest receivable/payable and cash collateral remitted to/received from counterparties. The estimated fair values of the accrued interest receivable/payable and cash collateral approximate their carrying values due to their short-term nature. The fair values of derivatives are netted by clearing agent and/or by counterparty pursuant to the provisions of each of the Bank’s netting agreements. If these netted amounts are positive, they are classified as an asset, and, if negative, as a liability. The discounted cash flow analysis used to determine the fair value of derivative instruments utilizes market-observable inputs (inputs that are actively quoted and can be validated to external sources). Inputs by class of derivative are as follows: Interest-rate related: • Discount rate assumption. Overnight Index Swap (OIS) curve. • Forward interest rate assumption. LIBOR Swap Curve. • Volatility assumption. Market-based expectations of future interest rate volatility implied from current market prices for similar options. Mortgage delivery commitments: • To Be Announced (TBA) securities prices. Market-based prices of TBAs are determined by coupon class and expected term until settlement. BOB Loans. The fair value approximates the carrying value. Deposits. The Bank determines the fair value by calculating the present value of expected future cash flows from the deposits. The discount rates used in these calculations are the cost of deposits with similar terms. Substantially all of these instruments’ maturity terms are overnight. Consolidated Obligations. The Bank’s internal valuation model determines fair values of consolidated obligations bonds and discount notes by calculating the present value of expected cash flows using market-based yield curves. The inputs used to determine fair value of consolidated obligations are a CO curve and a LIBOR swap curve, a volatility assumption for consolidated obligations with optionality, and a spread adjustment. The OF constructs an internal curve, referred to as the CO curve, using the U.S. Treasury curve as a base curve that is then adjusted by adding indicative spreads obtained from market observable sources. These market indications are generally derived from pricing indications from dealers, historical pricing relationships, recent GSE trades and secondary market activity. Mandatorily Redeemable Capital Stock. The fair value of capital stock subject to mandatory redemption is generally its par value plus estimated dividends at the time of reclassification and any subsequently estimated dividend. FHLBank stock is not traded and no market mechanism exists for the exchange of stock outside the FHLBank System’s cooperative structure. Commitments. For fixed-rate loan commitments, fair value considers the difference between current levels of interest rates and the committed rates. The Bank issues standby letters of credit for a fee. The unamortized fee is the letter of credit’s carrying value and represents its fair value. The fair value of the Bank’s commitments to extend credit for advances and letters of credit was immaterial at December 31, 2015 and 2014 . Subjectivity of Estimates. Estimates of the fair value of financial assets and liabilities using the methods described above are highly subjective and require judgments regarding significant matters such as the amount and timing of future cash flows, prepayment speed assumptions, expected interest rate volatility, possible distributions of future interest rates used to value options, and the selection of discount rates that appropriately reflect market and credit risks. The use of different assumptions could have a material effect on the fair value estimates. These estimates are susceptible to material near term changes because they are made as of a specific point in time. |
Fair Value Transfer | For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur and transfers are reported as of the beginning of the period. |
Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans | The Bank has established parameters for the review, assessment, monitoring and measurement of credit risk related to these standby letters of credit. Based on management’s credit analyses, collateral requirements, and adherence to the requirements set forth in Bank policy and Finance Agency regulations, the Bank has not recorded any additional liability on these commitments and standby letters of credit. Excluding BOB, commitments and standby letters of credit are collateralized at the time of issuance. The Bank records a liability with respect to BOB commitments, which is reflected in other liabilities on the Statements of Condition. Commitments to Extend Credit on Standby Letters of Credit, Additional Advances and BOB Loans. Standby letters of credit are issued on behalf of members for a fee. A standby letter of credit is a financing arrangement between the Bank and its member. If the Bank is required to make payment for a beneficiary’s draw, these amounts are withdrawn from the member’s Demand Deposit Account (DDA). Any remaining amounts not covered by the withdrawal from the member’s DDA are converted into a collateralized advance. |
Trading Securities (Tables)
Trading Securities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Schedule of Trading Securities | The following table presents trading securities as of December 31, 2015 and December 31, 2014 . (in thousands) December 31, December 31, Mutual funds $ 5,442 $ 4,721 GSE and Tennessee Valley Authority (TVA) obligations 389,295 276,295 Total $ 394,737 $ 281,016 |
Categories of Investments, Marketable Securities, Trading Securities [Member] | |
Schedule of Trading Securities and Other Trading Assets [Line Items] | |
Net Gains (Losses) on Trading Securities | The following table presents net gains (losses) on trading securities for 2015 , 2014 and 2013 . Year ended December 31, (in thousands) 2015 2014 2013 Net unrealized gains (losses) on trading securities held at year-end $ 1,598 $ 22,322 $ (4,559 ) Net realized gains (losses) on securities sold/matured during the year — 86 (35 ) Net gains (losses) on trading securities $ 1,598 $ 22,408 $ (4,594 ) |
Available-for-Sale (AFS) Secu32
Available-for-Sale (AFS) Securities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Schedule of Available-for-sale Securities [Line Items] | |
Schedule of Available-for-sale Securities Reconciliation | The following tables present AFS securities as of December 31, 2015 and December 31, 2014 . December 31, 2015 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: Mutual funds $ 1,993 $ — $ 5 $ — $ 1,998 GSE and TVA obligations 3,468,665 — 15,332 (14,792 ) 3,469,205 State or local agency obligations 133,038 — 2,055 (973 ) 134,120 Total non-MBS $ 3,603,696 $ — $ 17,392 $ (15,765 ) $ 3,605,323 MBS: Other U.S. obligations single family MBS $ 268,105 $ — $ 501 $ (70 ) $ 268,536 GSE single-family MBS 2,378,589 — 9,965 (4,924 ) 2,383,630 GSE multifamily MBS 1,008,511 — 5,614 (3,628 ) 1,010,497 Private label MBS: Private label residential MBS 751,703 (889 ) 72,263 (337 ) 822,740 HELOCs 7,572 — 1,596 — 9,168 Total private label MBS 759,275 (889 ) 73,859 (337 ) 831,908 Total MBS $ 4,414,480 $ (889 ) $ 89,939 $ (8,959 ) $ 4,494,571 Total AFS securities $ 8,018,176 $ (889 ) $ 107,331 $ (24,724 ) $ 8,099,894 December 31, 2014 (in thousands) Amortized Cost (1) OTTI Recognized in AOCI (2) Gross Unrealized Gains Gross Unrealized Losses Fair Value Non-MBS: Mutual funds $ 1,993 $ — $ 5 $ — $ 1,998 GSE and TVA obligations 3,221,543 — 17,661 (5,501 ) 3,233,703 State or local agency obligations 98,616 — 752 (384 ) 98,984 Total non-MBS $ 3,322,152 $ — $ 18,418 $ (5,885 ) $ 3,334,685 MBS: Other U.S. obligations single family MBS $ 328,787 $ — $ 592 $ — $ 329,379 GSE single-family MBS 2,869,855 — 16,433 (4,126 ) 2,882,162 GSE multifamily MBS 872,509 — 9,511 (2,193 ) 879,827 Private label MBS: Private label residential MBS 879,376 (863 ) 92,860 (290 ) 971,083 HELOCs 9,245 — 2,454 — 11,699 Total private label MBS 888,621 (863 ) 95,314 (290 ) 982,782 Total MBS $ 4,959,772 $ (863 ) $ 121,850 $ (6,609 ) $ 5,074,150 Total AFS securities $ 8,281,924 $ (863 ) $ 140,268 $ (12,494 ) $ 8,408,835 Notes : (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. (2) Represents the non-credit portion of an OTTI recognized during the life of the security. |
Schedule of Transfers From Held to Maturity to Available for Sale | (in thousands) Amortized Cost OTTI Recognized in OCI Fair Value December 31, 2015 transfer $ 7,556 $ (638 ) $ 6,918 June 30, 2015 transfer 4,394 (1,026 ) 3,368 Total 2015 transfers $ 11,950 $ (1,664 ) $ 10,286 |
Schedule of Realized Gain (Loss) | The following table provides a summary of proceeds and gross losses on sales of AFS securities for 2015 , 2014 and 2013 . The gross losses are included in “Other, net” in the Statement of Income. Year ended December 31, 2015 (in thousands) 2015 2014 2013 Proceeds from sale of AFS securities $ — $ — $ 19,909 Gross losses on sale of AFS securities — — (41 ) |
Available-for-sale Securities [Member] | |
Schedule of Available-for-sale Securities [Line Items] | |
Reconciliation of Other than Temporary Impairment on Investments Recognized in Accumulated Other Comprehensive Income | The following table presents a reconciliation of the AFS OTTI loss recognized through AOCI to the total net non-credit portion of OTTI gains on AFS securities in AOCI as of December 31, 2015 and 2014 . (in thousands) December 31, 2015 December 31, 2014 Non-credit portion of OTTI losses $ (889 ) $ (863 ) Net unrealized gains on OTTI securities since their last OTTI credit charge 73,859 95,314 Net non-credit portion of OTTI gains on AFS securities in AOCI $ 72,970 $ 94,451 |
Schedule of Unrealized Loss on Investments | The following tables summarize the AFS securities with unrealized losses as of December 31, 2015 and December 31, 2014 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2015 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses (1) Non-MBS: GSE and TVA obligations $ 2,396,493 $ (12,937 ) $ 184,772 $ (1,855 ) $ 2,581,265 $ (14,792 ) State or local agency obligations 41,727 (863 ) 3,890 (110 ) 45,617 (973 ) Total non-MBS $ 2,438,220 $ (13,800 ) $ 188,662 $ (1,965 ) $ 2,626,882 $ (15,765 ) MBS: Other U.S. obligations single-family MBS $ 70,490 $ (48 ) $ 11,984 $ (22 ) $ 82,474 $ (70 ) GSE single-family MBS 465,658 (761 ) 114,028 (4,163 ) 579,686 (4,924 ) GSE multifamily MBS 420,982 (3,628 ) — — 420,982 (3,628 ) Private label residential MBS 65,080 (775 ) 9,332 (451 ) 74,412 (1,226 ) Total MBS $ 1,022,210 $ (5,212 ) $ 135,344 $ (4,636 ) $ 1,157,554 $ (9,848 ) Total $ 3,460,430 $ (19,012 ) $ 324,006 $ (6,601 ) $ 3,784,436 $ (25,613 ) December 31, 2014 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses (1) Non-MBS: GSE and TVA obligations $ 1,783,202 $ (4,380 ) $ 322,691 $ (1,121 ) $ 2,105,893 $ (5,501 ) State or local agency obligations 1,576 (14 ) 11,385 (370 ) 12,961 (384 ) Total non-MBS $ 1,784,778 $ (4,394 ) $ 334,076 $ (1,491 ) $ 2,118,854 $ (5,885 ) MBS: GSE single-family MBS 19,405 (3 ) 228,257 (4,123 ) 247,662 (4,126 ) GSE multifamily MBS 15,322 (104 ) 185,153 (2,089 ) 200,475 (2,193 ) Private label residential MBS 58,553 (191 ) 49,383 (962 ) 107,936 (1,153 ) Total MBS $ 93,280 $ (298 ) $ 462,793 $ (7,174 ) $ 556,073 $ (7,472 ) Total $ 1,878,058 $ (4,692 ) $ 796,869 $ (8,665 ) $ 2,674,927 $ (13,357 ) Note: (1) Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 5. |
Investments Classified by Contractual Maturity Date | The amortized cost and fair value of AFS securities by contractual maturity as of December 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2015 December 31, 2014 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Due in one year or less $ 28,706 $ 28,688 $ 301,985 $ 302,087 Due after one year through five years 1,925,398 1,919,024 2,058,695 2,054,517 Due after five years through ten years 812,550 825,558 662,805 676,064 Due in more than ten years 837,042 832,053 298,667 302,017 AFS securities excluding MBS 3,603,696 3,605,323 3,322,152 3,334,685 MBS 4,414,480 4,494,571 4,959,772 5,074,150 Total AFS securities $ 8,018,176 $ 8,099,894 $ 8,281,924 $ 8,408,835 |
Schedule of Interest Rate Payment Terms For Investments | The following table details interest payment terms at December 31, 2015 and December 31, 2014 . (in thousands) December 31, December 31, Amortized cost of AFS securities other than MBS: Fixed-rate $ 3,518,980 $ 2,902,430 Variable-rate 84,716 419,722 Total non-MBS $ 3,603,696 $ 3,322,152 Amortized cost of AFS MBS: Fixed-rate $ 1,593,414 $ 2,002,208 Variable-rate 2,821,066 2,957,564 Total MBS $ 4,414,480 $ 4,959,772 Total amortized cost of AFS securities $ 8,018,176 $ 8,281,924 Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may contain provisions permitting the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is considered to be variable-rate. |
Held-to-Maturity (HTM) Securi33
Held-to-Maturity (HTM) Securities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Schedule of Held-to-maturity Securities [Line Items] | |
Held-to-maturity Securities | The following tables present HTM securities as of December 31, 2015 and December 31, 2014 . December 31, 2015 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: State or local agency obligations $ 169,520 $ 118 $ (14,484 ) $ 155,154 MBS: Other U.S. obligations single-family MBS $ 819,602 $ 5,651 $ (5 ) $ 825,248 GSE single-family MBS 294,568 4,459 (75 ) 298,952 GSE multifamily MBS 863,122 30,124 (1,394 ) 891,852 Private label residential MBS 516,492 1,717 (5,344 ) 512,865 Total MBS $ 2,493,784 $ 41,951 $ (6,818 ) $ 2,528,917 Total HTM securities $ 2,663,304 $ 42,069 $ (21,302 ) $ 2,684,071 December 31, 2014 (in thousands) Amortized Cost Gross Unrealized Holding Gains Gross Unrealized Holding Losses Fair Value Non-MBS: GSE securities $ 13,041 $ 382 $ — $ 13,423 State or local agency obligations 184,412 1,314 (15,445 ) 170,281 Total non-MBS $ 197,453 $ 1,696 $ (15,445 ) $ 183,704 MBS: Other U.S. obligations single-family MBS $ 1,122,537 $ 8,604 $ — $ 1,131,141 GSE single-family MBS 417,217 7,226 (118 ) 424,325 GSE multifamily MBS 818,037 43,431 — 861,468 Private label residential MBS 691,544 3,506 (9,141 ) 685,909 Total MBS $ 3,049,335 $ 62,767 $ (9,259 ) $ 3,102,843 Total HTM securities $ 3,246,788 $ 64,463 $ (24,704 ) $ 3,286,547 |
Held-to-maturity Securities [Member] | |
Schedule of Held-to-maturity Securities [Line Items] | |
Schedule of Unrealized Loss on Investments | The following tables summarize the HTM securities with unrealized losses as of December 31, 2015 and December 31, 2014 . The unrealized losses are aggregated by major security type and length of time that individual securities have been in a continuous unrealized loss position. December 31, 2015 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ 20,154 $ (1 ) $ 110,737 $ (14,483 ) $ 130,891 $ (14,484 ) MBS: Other U.S. obligations single-family MBS $ 10,237 $ (5 ) $ — $ — $ 10,237 $ (5 ) GSE single-family MBS — — 9,091 (75 ) 9,091 (75 ) GSE multifamily MBS 132,835 (1,394 ) — — 132,835 (1,394 ) Private label residential MBS 110,665 (717 ) 252,851 (4,627 ) 363,516 (5,344 ) Total MBS $ 253,737 $ (2,116 ) $ 261,942 $ (4,702 ) $ 515,679 $ (6,818 ) Total $ 273,891 $ (2,117 ) $ 372,679 $ (19,185 ) $ 646,570 $ (21,302 ) December 31, 2014 Less than 12 Months Greater than 12 Months Total (in thousands) Fair Value Unrealized Losses Fair Value Unrealized Losses Fair Value Unrealized Losses Non-MBS: State or local agency obligations $ 3,361 $ (54 ) $ 116,488 $ (15,391 ) $ 119,849 $ (15,445 ) MBS: GSE single-family MBS — — 11,058 (118 ) 11,058 (118 ) Private label residential MBS 185,673 (1,291 ) 233,287 (7,850 ) 418,960 (9,141 ) Total MBS $ 185,673 $ (1,291 ) $ 244,345 $ (7,968 ) $ 430,018 $ (9,259 ) Total $ 189,034 $ (1,345 ) $ 360,833 $ (23,359 ) $ 549,867 $ (24,704 ) |
Investments Classified by Contractual Maturity Date | The amortized cost and fair value of HTM securities by contractual maturity as of December 31, 2015 and December 31, 2014 are presented below. Expected maturities of some securities will differ from contractual maturities because borrowers may have the right to call or prepay obligations with or without call or prepayment fees. (in thousands) December 31, 2015 December 31, 2014 Year of Maturity Amortized Cost Fair Value Amortized Cost Fair Value Non-MBS: Due in one year or less $ — $ — $ 13,042 $ 13,423 Due after one year through five years — — 3,415 3,361 Due after five years through ten years 57,490 55,797 21,807 22,263 Due after ten years 112,030 99,357 159,189 144,657 HTM securities excluding MBS 169,520 155,154 197,453 183,704 MBS 2,493,784 2,528,917 3,049,335 3,102,843 Total HTM securities $ 2,663,304 $ 2,684,071 $ 3,246,788 $ 3,286,547 |
Schedule of Interest Rate Payment Terms For Investments | The following table details interest rate payment terms at December 31, 2015 and December 31, 2014 . December 31, 2015 December 31, 2014 (in thousands) Amortized cost of HTM securities other than MBS: Fixed-rate $ 28,565 $ 44,453 Variable-rate 140,955 153,000 Total non-MBS $ 169,520 $ 197,453 Amortized cost of HTM MBS: Fixed-rate $ 1,023,636 $ 1,114,059 Variable-rate 1,470,148 1,935,276 Total MBS $ 2,493,784 $ 3,049,335 Total HTM securities $ 2,663,304 $ 3,246,788 Note: Certain MBS have a fixed-rate component for a specified period of time, then have a rate reset on a given date. Examples of this type of instrument include securities supported by underlying 3/1, 5/1, 7/1 and 10/1 hybrid ARMs. In addition, certain of these securities may contain provisions permitting the fixed rate to be adjusted for items such as prepayment, defaults and loan modification. For purposes of the table above, these securities are reported as fixed-rate until the rate reset date is hit. At that point, the security is considered to be variable-rate. |
Other-Than-Temporary Impairme34
Other-Than-Temporary Impairment (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Other than Temporary Impairment Losses, Investments [Abstract] | |
Schedule of Other Than Temporarily Impaired Charges of Securities | The “Total OTTI securities” balances below summarize the Bank’s securities as of December 31, 2015 for which an OTTI has been recognized during the life of the security. The “Private label MBS with no OTTI” balances below represent AFS securities on which an OTTI was not taken. The sum of these two totals reflects the entire AFS private label MBS portfolio. OTTI Recognized During the Life of the Security (in thousands) Unpaid Principal Balance Amortized Cost (1) Fair Value Private label residential MBS: Prime $ 428,561 $ 347,845 $ 385,510 Alt-A 506,768 399,589 433,160 Subprime 1,887 1,109 1,246 HELOCs 10,065 7,572 9,168 Total OTTI securities 947,281 756,115 829,084 Private label MBS with no OTTI 3,160 3,160 2,824 Total AFS private label MBS $ 950,441 $ 759,275 $ 831,908 Notes: (1) Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings. |
Other than Temporary Impairment, Credit Losses Recognized in Earnings | The following table presents the rollforward of the amounts related to OTTI credit losses recognized during the life of the security for which a portion of the OTTI charges was recognized in AOCI for 2015, 2014 and 2013 . (in thousands) 2015 2014 2013 Beginning balance $ 290,935 $ 314,224 $ 326,024 Additions: Credit losses for which OTTI was not previously recognized 1,794 — — Additional OTTI credit losses for which an OTTI charge was previously recognized (1) 55 — 442 Reductions: Securities sold and matured during the period (2) — 292 (59 ) Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) (27,405 ) (23,581 ) (12,183 ) Ending balance $ 265,379 $ 290,935 $ 314,224 Notes: (1) For 2015 , 2014 and 2013, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2015, 2014 and 2013, respectively. (2) Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period. |
Advances (Tables)
Advances (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Advances [Abstract] | |
Advances Redemption Terms | The following table summarizes advances by (i) year of contractual maturity or next call date and (ii) year of contractual maturity or next convertible date as of December 31, 2015 and 2014 . Year of Contractual Maturity or Next Call Date Year of Contractual Maturity or Next Convertible Date (in thousands) December 31, 2015 December 31, 2014 December 31, 2015 December 31, 2014 Due in 1 year or less $ 34,692,256 $ 29,380,685 $ 33,771,756 $ 31,164,685 Due after 1 year through 2 years 18,939,266 7,754,473 18,629,266 6,846,973 Due after 2 years through 3 years 11,661,338 12,764,348 12,877,338 12,179,348 Due after 3 years through 4 years 6,245,864 9,361,638 6,255,364 9,095,638 Due after 4 years through 5 years 1,775,994 3,373,989 1,800,994 3,368,489 Thereafter 1,018,555 490,823 998,555 470,823 Total par value $ 74,333,273 $ 63,125,956 $ 74,333,273 $ 63,125,956 Interest Rate Payment Terms. The following table details interest rate payment terms for advances as of December 31, 2015 and 2014 . (in thousands) December 31, December 31, Fixed-rate – overnight $ 4,681,918 $ 2,012,230 Fixed-rate – term: Due in 1 year or less 13,532,806 20,740,508 Thereafter 13,121,108 9,116,344 Total fixed-rate 31,335,832 31,869,082 Variable-rate: Due in 1 year or less 14,977,532 6,627,947 Thereafter 28,019,909 24,628,927 Total variable-rate 42,997,441 31,256,874 Total par value $ 74,333,273 $ 63,125,956 The following table details the Bank’s advances portfolio by year of contractual maturity as of December 31, 2015 and December 31, 2014 . (dollars in thousands) December 31, 2015 December 31, 2014 Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 33,192,256 0.70 % $ 29,380,685 0.42 % Due after 1 year through 2 years 18,989,266 0.99 7,754,473 1.22 Due after 2 years through 3 years 13,071,338 0.96 12,764,348 1.14 Due after 3 years through 4 years 6,260,864 0.93 9,361,638 0.82 Due after 4 years through 5 years 1,800,994 1.68 3,373,989 0.84 Thereafter 1,018,555 2.66 490,823 2.77 Total par value 74,333,273 0.89 % 63,125,956 0.76 % Discount on AHP advances (21 ) (66 ) Deferred prepayment fees (4,749 ) (8,600 ) Hedging adjustments 176,273 291,065 Total book value $ 74,504,776 $ 63,408,355 |
Mortgage Loans Held for Portf36
Mortgage Loans Held for Portfolio (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Mortgage Loans on Real Estate [Abstract] | |
Schedule of Mortgage Loans Held for Portfolio | The following table presents balances as of December 31, 2015 and December 31, 2014 for mortgage loans held for portfolio. (in thousands) December 31, December 31, Fixed-rate long-term single-family mortgages (1) $ 2,660,615 $ 2,640,633 Fixed-rate medium-term single-family mortgages (1) 352,082 417,830 Total par value 3,012,697 3,058,463 Premiums 50,857 51,214 Discounts (3,899 ) (4,872 ) Hedging adjustments 32,865 25,789 Total mortgage loans held for portfolio $ 3,092,520 $ 3,130,594 Note: (1) Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. The following table details the par value of mortgage loans held for portfolio outstanding categorized by type as of December 31, 2015 and December 31, 2014 . (in thousands) December 31, December 31, Conventional loans $ 2,763,930 $ 2,779,962 Government-guaranteed/insured loans 248,767 278,501 Total par value $ 3,012,697 $ 3,058,463 |
Allowance for Credit Losses (Ta
Allowance for Credit Losses (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |
Past Due Financing Receivables | Credit Quality Indicators. Key credit quality indicators for mortgage and BOB loans include the migration of past due loans, nonaccrual loans, loans in process of foreclosure, and impaired loans. (in thousands) December 31, 2015 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans BOB Loans Total Past due 30-59 days $ 42,746 $ 14,997 $ 86 $ 57,829 Past due 60-89 days 11,752 4,260 78 16,090 Past due 90 days or more 25,169 4,382 156 29,707 Total past due loans $ 79,667 $ 23,639 $ 320 $ 103,626 Total current loans 2,770,612 234,376 13,090 3,018,078 Total loans $ 2,850,279 $ 258,015 $ 13,410 $ 3,121,704 Other delinquency statistics: In process of foreclosures, included above (2) $ 15,353 $ 1,356 $ — $ 16,709 Serious delinquency rate (3) 0.9 % 1.7 % 1.2 % 1.0 % Past due 90 days or more still accruing interest $ — $ 4,382 $ — $ 4,382 Loans on nonaccrual status $ 29,075 $ — $ 383 $ 29,458 (in thousands) December 31, 2014 Recorded investment: (1) Conventional MPF Loans Government-Guaranteed or Insured Loans BOB Loans Total Past due 30-59 days $ 50,680 $ 19,238 $ 124 $ 70,042 Past due 60-89 days 11,841 6,034 73 17,948 Past due 90 days or more 41,983 7,024 8 49,015 Total past due loans $ 104,504 $ 32,296 $ 205 $ 137,005 Total current loans 2,753,466 256,606 13,313 3,023,385 Total loans $ 2,857,970 $ 288,902 $ 13,518 $ 3,160,390 Other delinquency statistics: In process of foreclosures, included above (2) $ 26,981 $ 2,389 $ — $ 29,370 Serious delinquency rate (3) 1.5 % 2.4 % 0.1 % 1.6 % Past due 90 days or more still accruing interest $ — $ 7,024 $ — $ 7,024 Loans on nonaccrual status $ 45,900 $ — $ 205 $ 46,105 Notes: (1) The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance. (2) Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. (3) Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. |
Individually Evaluated Impaired Loan Statistic By Product Level | Information regarding individually evaluated impaired loans is as follows. As indicated above, these loans include impaired loans considered collateral-dependent. BOB loans are not significant and are excluded from the tables below. December 31, 2015 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 33,737 $ 33,428 $ — With a related allowance: Conventional MPF loans $ 27,025 $ 26,774 $ 5,018 Total: Conventional MPF loans $ 60,762 $ 60,202 $ 5,018 December 31, 2014 (in thousands) Recorded Investment Unpaid Principal Balance Related Allowance for Credit Losses With no related allowance: Conventional MPF loans $ 31,749 $ 31,448 $ — With a related allowance: Conventional MPF loans $ 36,395 $ 36,175 $ 6,034 Total: Conventional MPF loans $ 68,144 $ 67,623 $ 6,034 |
Impaired Financing Receivables | The table below presents the average recorded investment of individually impaired loans and related interest income recognized. The Bank included the individually impaired loans as of the date on which they became impaired. Year ended December 31, 2015 Year ended December 31, 2014 Year ended December 31, 2013 (in thousands) Average Recorded Investment (1) Interest Income Recognized Average Recorded Investment (1) Interest Income Recognized Average Recorded Investment (1) Interest Income Recognized Conventional MPF loans $ 63,683 $ 1,966 $ 74,956 $ 1,388 $ 14,552 $ 645 |
Conventional MPF Loans [Member] | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |
Rollforward of Allowance for Credit Losses on Mortgage Loans | Rollforward of Allowance for Credit Losses. Mortgage Loans - Conventional MPF. (in thousands) 2015 2014 2013 Balance, beginning of period $ 7,260 $ 11,359 $ 14,163 (Charge-offs) Recoveries, net (1) (815 ) 299 (1,035 ) Provision (benefit) for credit losses (780 ) (4,398 ) (1,769 ) Balance, December 31 $ 5,665 $ 7,260 $ 11,359 |
Allowance for Credit Losses and Recorded Investment By Impairment Methodology | (in thousands) 2015 2014 2013 Ending balance, individually evaluated for impairment $ 5,018 $ 6,034 $ 795 Ending balance, collectively evaluated for impairment 647 1,226 10,564 Total allowance for credit losses $ 5,665 $ 7,260 $ 11,359 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a $ 60,762 $ 68,144 $ 15,571 Collectively evaluated for impairment 2,789,517 2,789,826 2,919,583 Total recorded investment $ 2,850,279 $ 2,857,970 $ 2,935,154 |
BOB Loans [Member] | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |
Rollforward of Allowance for Credit Losses on Mortgage Loans | (in thousands) 2015 2014 2013 Balance, beginning of period $ 1,840 $ 2,231 $ 2,481 (Charge-offs) Recoveries, net (429 ) (610 ) (154 ) Provision (benefit) for credit losses 641 219 (96 ) Balance, December 31 $ 2,052 $ 1,840 $ 2,231 |
Allowance for Credit Losses and Recorded Investment By Impairment Methodology | (in thousands) 2015 2014 2013 Ending balance, individually evaluated for impairment $ 25 $ — $ — Ending balance, collectively evaluated for impairment 2,027 1,840 2,231 Total allowance for credit losses $ 2,052 $ 1,840 $ 2,231 Recorded investment balance, end of period: Individually evaluated for impairment, with or without a $ 63 $ — $ — Collectively evaluated for impairment 13,347 13,518 13,742 Total recorded investment $ 13,410 $ 13,518 $ 13,742 |
Derivatives and Hedging Activ38
Derivatives and Hedging Activities (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Fair Value of Derivative Instruments | The following tables summarize the notional and fair value of derivative instruments, including the effect of netting adjustments and cash collateral as of December 31, 2015 and 2014 . For purposes of this disclosure, the derivative values include the fair value of derivatives and the related accrued interest. December 31, 2015 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 30,416,262 $ 49,104 $ 269,354 Derivatives not designated as hedging instruments: Interest rate swaps $ 13,363,652 $ 18,426 $ 62,384 Interest rate swaptions 25,000 — — Interest rate caps 755,000 2,695 — Mortgage delivery commitments 9,950 253 — Total derivatives not designated as hedging instruments: $ 14,153,602 $ 21,374 $ 62,384 Total derivatives before netting and collateral adjustments $ 44,569,864 $ 70,478 $ 331,738 Netting adjustments and cash collateral (1) (4,623 ) (289,230 ) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 65,855 $ 42,508 December 31, 2014 (in thousands) Notional Amount of Derivatives Derivative Assets Derivative Liabilities Derivatives designated as hedging instruments: Interest rate swaps $ 32,196,669 $ 84,205 $ 414,760 Derivatives not designated as hedging instruments: Interest rate swaps $ 11,937,989 $ 21,396 $ 52,925 Interest rate swaptions 25,000 1,312 — Interest rate caps 675,000 4,425 — Mortgage delivery commitments 18,308 434 — Total derivatives not designated as hedging instruments $ 12,656,297 $ 27,567 $ 52,925 Total derivatives before netting and collateral adjustments $ 44,852,966 $ 111,772 $ 467,685 Netting adjustments and cash collateral (1) (75,555 ) (408,721 ) Derivative assets and derivative liabilities as reported on the Statement of Condition $ 36,217 $ 58,964 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $287.0 million and $345.0 million at December 31, 2015 and 2014. Cash collateral received was $2.4 million and $11.8 million at December 31, 2015 and 2014. |
Net Gains (Losses) on Derivatives and Hedging Activities | The following table presents the components of net gains (losses) on derivatives and hedging activities as presented in the Statements of Income. Year ended December 31, (in thousands) 2015 2014 2013 Derivatives designated as hedging instruments: Interest rate swaps (1) $ 4,769 $ 4,287 $ 5,687 Derivatives not designated as hedging instruments: Economic hedges: Interest rate swaps $ (21,514 ) $ (73,836 ) $ (5,507 ) Interest rate swaptions 56 1,410 — Interest rate caps (1,988 ) (4,496 ) 2,630 Net interest settlements 10,959 26,369 20,444 Mortgage delivery commitments 11,074 8,739 6,982 Other 24 27 15 Total net gains (losses) related to derivatives not designated as hedging instruments $ (1,389 ) $ (41,787 ) $ 24,564 Net gains (losses) on derivatives and hedging activities $ 3,380 $ (37,500 ) $ 30,251 Note: (1) Pertains to total net gains for fair value hedge ineffectiveness. |
Effect of Fair Value Hedged-Related Derivative Instruments | The following tables present, by type of hedged item, the gains (losses) on derivatives and the related hedged items in fair value hedging relationships and the impact of those derivatives on the Bank’s net interest income for 2015 , 2014 and 2013 . (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) 2015 Hedged item type: Advances $ 110,659 $ (109,811 ) $ 848 $ (198,536 ) Consolidated obligations – bonds 28,735 (25,822 ) 2,913 218,194 AFS securities (7,075 ) 8,083 1,008 (19,032 ) Total $ 132,319 $ (127,550 ) $ 4,769 $ 626 (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) 2014 Hedged item type: Advances $ 249,742 $ (245,817 ) $ 3,925 $ (225,722 ) Consolidated obligations – bonds 74,726 (72,766 ) 1,960 233,774 AFS securities (32,530 ) 30,932 (1,598 ) (11,442 ) Total $ 291,938 $ (287,651 ) $ 4,287 $ (3,390 ) (in thousands) Gains/(Losses) on Derivative Gains/(Losses) on Hedged Item Net Fair Value Hedge Ineffectiveness Effect of Derivatives on Net Interest Income (1) 2013 Hedged item type: Advances $ 290,036 $ (286,937 ) $ 3,099 $ (255,143 ) Consolidated obligations – bonds (315,332 ) 316,551 1,219 217,753 AFS securities 6,188 (4,819 ) 1,369 (3,189 ) Total $ (19,108 ) $ 24,795 $ 5,687 $ (40,579 ) Note: (1) Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $0.8 million , $13.8 million and $18.9 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the years ended December 31, 2015, 2014 and 2013. |
Offsetting Assets | When it has met the netting requirements, the Bank presents derivative instruments, related cash collateral, including initial and variation margin, received or pledged and associated accrued interest on a net basis by clearing agent and/or by counterparty. The following tables present separately the fair value of derivative instruments meeting or not meeting netting requirements, including the related collateral received from or pledged to counterparties. Derivative Assets (in thousands) December 31, 2015 December 31, 2014 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 39,068 $ 102,570 Cleared derivatives 31,157 8,768 Total gross recognized amount 70,225 111,338 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (37,981 ) (96,286 ) Cleared derivatives 33,358 20,731 Total gross amounts of netting adjustments and cash collateral (4,623 ) (75,555 ) Net amounts after netting adjustments: Uncleared derivatives 1,087 6,284 Cleared derivatives 64,515 29,499 Total net amounts after netting adjustments 65,602 35,783 Derivative instruments not meeting netting requirements: (1) Uncleared derivatives 253 434 Cleared derivatives — — Total derivative instruments not meeting netting requirements: 253 434 Total derivative assets: Uncleared derivatives 1,340 6,718 Cleared derivatives 64,515 29,499 Total derivative assets as reported in the Statement of Condition 65,855 36,217 Non-cash collateral received or pledged not offset: Can be sold or repledged Uncleared derivatives — (636 ) Cleared derivatives — — Total Can be sold or repledged — (636 ) Net unsecured amount Uncleared derivatives 1,340 6,082 Cleared derivatives 64,515 29,499 Total net unsecured amount $ 65,855 $ 35,581 |
Offsetting Liabilities | Derivative Liabilities (in thousands) December 31, 2015 December 31, 2014 Derivative instruments meeting netting requirements: Gross recognized amount: Uncleared derivatives $ 132,910 $ 283,979 Cleared derivatives 198,828 183,706 Total gross recognized amount 331,738 467,685 Gross amounts of netting adjustments and cash collateral: Uncleared derivatives (90,402 ) (225,015 ) Cleared derivatives (198,828 ) (183,706 ) Total gross amounts of netting adjustments and cash collateral (289,230 ) (408,721 ) Net amounts after netting adjustments: Uncleared derivatives 42,508 58,964 Cleared derivatives — — Total net amounts after netting adjustments 42,508 58,964 Total derivative liabilities: Uncleared derivatives 42,508 58,964 Cleared derivatives — — Total derivative liabilities as reported in the Statement of Condition 42,508 58,964 Net unsecured amount Uncleared derivatives 42,508 58,964 Total net unsecured amount $ 42,508 $ 58,964 Note: (1) Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest rate futures or forwards). |
Premises, Software and Equipm39
Premises, Software and Equipment (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Property, Plant and Equipment [Abstract] | |
Schedule of premises, software and equipment | Premises, Software and Equipment December 31, (in thousands) 2015 2014 Computer hardware and software $ 54,593 $ 52,369 Furniture 915 959 Leasehold improvements 2,478 2,331 Equipment and other 980 974 Total premises, software and equipment, gross 58,966 56,633 Less: Accumulated depreciation and amortization 48,279 46,187 Total premises, software and equipment, net $ 10,687 $ 10,446 |
Deposits (Tables)
Deposits (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Deposits [Abstract] | |
Schedule of Deposits | The following table details interest-bearing and noninterest-bearing deposits as of December 31, 2015 and 2014 . December 31, (in thousands) 2015 2014 Interest-bearing: Demand and overnight $ 635,468 $ 601,454 Noninterest-bearing: Demand and overnight 50,469 39,726 Total deposits $ 685,937 $ 641,180 |
Consolidated Obligations (Table
Consolidated Obligations (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Schedule of Short-term and Long-term Debt [Line Items] | |
Schedule of Consolidated Bonds Interest Rate Payment Type | The following table details interest rate payment terms for the Bank’s consolidated obligation bonds as of December 31, 2015 and 2014 . December 31, (in thousands) 2015 2014 Par value of consolidated bonds: Fixed-rate $ 31,945,658 $ 36,296,100 Step-up 1,860,000 3,116,000 Floating-rate 14,650,000 4,190,000 Conversion bonds - fixed to floating 60,000 — Total par value 48,515,658 43,602,100 Bond premiums 107,339 147,824 Bond discounts (9,629 ) (12,111 ) Hedging adjustments (7,386 ) (23,303 ) Total book value $ 48,605,982 $ 43,714,510 |
Schedule of Consolidated Bonds by Contractual Maturity | The following table presents a summary of the Bank’s consolidated obligation bonds outstanding by year of contractual maturity as of December 31, 2015 and 2014 . December 31, 2015 December 31, 2014 (dollars in thousands) Year of Contractual Maturity Amount Weighted Average Interest Rate Amount Weighted Average Interest Rate Due in 1 year or less $ 26,814,155 0.68 % $ 15,033,450 1.00 % Due after 1 year through 2 years 8,753,810 1.21 9,316,860 1.42 Due after 2 years through 3 years 4,998,335 1.46 5,346,515 1.64 Due after 3 years through 4 years 2,017,720 1.84 4,709,300 1.50 Due after 4 years through 5 years 2,040,940 1.91 2,911,350 1.72 Thereafter 3,733,950 2.66 5,959,265 2.35 Index amortizing notes 156,748 4.73 325,360 4.14 Total par value $ 48,515,658 1.12 % $ 43,602,100 1.48 % |
Schedule of Consolidated Bonds by Call Features | The following table presents the Bank’s consolidated obligation bonds outstanding between noncallable and callable as of December 31, 2015 and 2014 . December 31, (in thousands) 2015 2014 Noncallable $ 41,462,658 $ 30,388,100 Callable 7,053,000 13,214,000 Total par value $ 48,515,658 $ 43,602,100 |
Schedule of Consolidated Bonds by Contractual Maturity or Next Call Date | The following table presents consolidated obligation bonds outstanding by the earlier of contractual maturity or next call date as of December 31, 2015 and 2014 . (in thousands) December 31, Year of Contractual Maturity or Next Call Date 2015 2014 Due in 1 year or less $ 33,517,155 $ 28,232,450 Due after 1 year through 2 years 7,778,810 8,114,860 Due after 2 years through 3 years 3,672,335 3,551,515 Due after 3 years through 4 years 1,202,720 1,390,300 Due after 4 years through 5 years 810,940 1,028,350 Thereafter 1,376,950 959,265 Index amortizing notes 156,748 325,360 Total par value $ 48,515,658 $ 43,602,100 |
Discount Notes [Member] | |
Schedule of Short-term and Long-term Debt [Line Items] | |
Schedule of Consolidated Discount Notes Outstanding | The following table details the Bank’s consolidated obligation discount notes as of December 31, 2015 and 2014 . December 31, (dollars in thousands) 2015 2014 Book value $ 42,276,815 $ 37,058,118 Par value 42,318,509 37,065,745 Weighted average interest rate (1) 0.32 % 0.10 % Note: (1) Represents yield to maturity excluding concession fees. |
Affordable Housing Program (A42
Affordable Housing Program (AHP) (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Affordable Housing Program [Abstract] | |
Analysis of AHP Liability | The following table presents an analysis of the AHP payable for 2015 , 2014 , and 2013 . (in thousands) 2015 2014 2013 Balance, beginning of the year $ 55,997 $ 36,353 $ 24,457 Assessments 28,519 28,437 16,578 Subsidy usage, net (13,609 ) (8,793 ) (4,682 ) Balance, end of the year $ 70,907 $ 55,997 $ 36,353 |
Capital (Tables)
Capital (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Capital [Abstract] | |
Schedule of Compliance with Regulatory Capital Requirements under Banking Regulations | he following table demonstrates the Bank’s compliance with these capital requirements at December 31, 2015 and 2014. December 31, 2015 December 31, 2014 (dollars in thousands) Required Actual Required Actual Regulatory capital requirements: RBC $ 820,621 $ 4,426,971 $ 847,424 $ 3,879,108 Total capital-to-asset ratio 4.0 % 4.6 % 4.0 % 4.5 % Total regulatory capital 3,853,451 4,426,971 3,427,083 3,879,108 Leverage ratio 5.0 % 6.9 % 5.0 % 6.8 % Leverage capital 4,816,814 6,640,456 4,283,854 5,818,663 |
Schedule of Concentration in Capital Stock Held | he following tables present member holdings of 10% or more of the Bank’s total capital stock including mandatorily redeemable capital stock outstanding as of December 31, 2015 and December 31, 2014 . (dollars in thousands) December 31, 2015 Member (1) Capital Stock % of Total PNC Bank, N.A., Wilmington, DE $ 881,552 24.9 % Santander Bank, N.A., Wilmington, DE 600,872 17.0 Chase Bank USA, N.A., Wilmington, DE 424,502 12.0 Ally Bank, Midvale, UT 391,287 11.0 (dollars in thousands) December 31, 2014 Member (1) Capital Stock % of Total PNC Bank, N.A., Wilmington, DE $ 876,305 28.8 % Santander Bank, N.A., Wilmington, DE 424,955 14.0 Chase Bank USA, N.A., Wilmington, DE 362,050 11.9 Note: (1) For Bank membership purposes, the principal place of business for PNC Bank is Pittsburgh, PA. For Ally Bank, the principal place of business is Horsham, PA. |
Schedule of Mandatorily Redeemable Capital Stock | he following table provides the related dollar amounts for activities recorded in mandatorily redeemable capital stock during 2015 , 2014 , and 2013 . (in thousands) 2015 2014 2013 Balance, beginning of the period $ 586 $ 40 $ 431,566 Capital stock subject to mandatory redemption reclassified from capital 36,629 8,422 698 Net redemption/repurchase of mandatorily redeemable stock (31,162 ) (7,876 ) (432,224 ) Balance, end of the period $ 6,053 $ 586 $ 40 |
Schedule of Mandatorily Redeemable Capital Stock by Maturity Date | he following table shows the amount of mandatorily redeemable capital stock by contractual year of redemption at December 31, 2015 and December 31, 2014 . December 31, (in thousands) 2015 2014 Due in 1 year or less $ — $ — Due after 1 year through 2 years — — Due after 2 years through 3 years — — Due after 3 years through 4 years 546 — Due after 4 years through 5 years 5,507 586 Total $ 6,053 $ 586 |
Schedule of Dividends Paid | hese dividends were based on stockholders' average balances for the previous quarter. Dividend - Annual Yield 2015 2014 2013 Membership Activity February (1) (1) 2.50% 0.32% April 3.00% 5.00% 4.00% 0.29% July 3.00% 5.00% 4.00% 1.00% October 3.00% 5.00% 4.00% 1.50% |
Schedule of Accumulated Other Comprehensive Income (Loss) | The following table summarizes the changes in AOCI for 2015 , 2014 and 2013 . (in thousands) Net Unrealized Gains(Losses) on AFS Non-credit OTTI Gains(Losses) on AFS Non-credit OTTI Gains(Losses) on HTM Net Unrealized Gains (Losses) on Hedging Activities Pension and Post-Retirement Plans Total December 31, 2012 $ 35,390 $ 18,999 $ — $ 286 $ (970 ) $ 53,705 Other comprehensive income (loss) before reclassifications: Net unrealized gains (losses) (67,912 ) 32,802 — — — (35,110 ) Net change in fair value of OTTI securities — 25,399 — — — 25,399 Reclassifications from OCI to net income: Non-credit OTTI to credit OTTI — 442 — — — 442 Reclassifications adjustment included in net income 41 — — — — 41 Amortization on hedging activities — — — 1 — 1 Pension and post-retirement — — — — (138 ) (138 ) December 31, 2013 $ (32,481 ) $ 77,642 $ — $ 287 $ (1,108 ) $ 44,340 December 31, 2013 $ (32,481 ) $ 77,642 $ — $ 287 $ (1,108 ) $ 44,340 Other comprehensive income (loss) before reclassifications: Net unrealized gains 64,941 13,896 — — — 78,837 Net change in fair value of OTTI securities — 2,913 — — — 2,913 Amortization on hedging activities — — — (15 ) — (15 ) Pension and post-retirement — — — — (1,642 ) (1,642 ) December 31, 2014 $ 32,460 $ 94,451 $ — $ 272 $ (2,750 ) $ 124,433 December 31, 2014 $ 32,460 $ 94,451 $ — $ 272 $ (2,750 ) $ 124,433 Other comprehensive income (loss) before reclassifications: Net unrealized (losses) (23,712 ) (21,510 ) — — — (45,222 ) Non-credit component of OTTI losses — — (1,665 ) — — (1,665 ) Non-credit OTTI losses transferred — (1,665 ) 1,665 — — — Net change in fair value of OTTI securities — 1,185 — — — 1,185 Reclassifications from OCI to net income: Non-credit OTTI to credit OTTI — 509 — — — 509 Amortization on hedging activities — — — (25 ) — (25 ) Pension and post-retirement — — — — 1,468 1,468 December 31, 2015 $ 8,748 $ 72,970 $ — $ 247 $ (1,282 ) $ 80,683 |
Employee Retirement Plans (Tabl
Employee Retirement Plans (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Compensation and Retirement Disclosure [Abstract] | |
Pentegra DB Plan Net Pension Cost and Funded Status | (dollars in thousands) 2015 2014 2013 Net pension cost charged to compensation and benefit expense for the year ended December 31 $ 4,687 $ 7,247 $ 8,876 Defined Benefit Plan funded status as of July 1 106.9 % (a) 111.4 % (b) 101.3 % Bank’s funded status as of July 1 126.7 % 128.6 % 107.8 % (a) The Defined Benefit Plan’s funded status as of July 1, 2015 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2015 through March 15, 2016. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2017). (b) The funded status disclosed was preliminary as the Form 5500 had not been filed when disclosed. The Bank did not update this preliminary funded status for final results. |
Schedule of Amounts Recognized in Balance Sheet | the following table sets forth their benefit obligations recorded in “Other liabilities” and amounts recognized in AOCI. In addition, the Bank recognized $1.2 million , $953 thousand , and $960 thousand in “Compensation and benefits” expense related to these two plans at December 31, 2015 , 2014 and 2013 , respectively. SERP Post-retirement Health Benefit Plan Total (in thousands) 2015 2014 2015 2014 2015 2014 Benefit obligations $ 6,673 $ 7,030 $ 1,876 $ 1,990 $ 8,549 $ 9,020 Unrealized actuarial gains (losses) in AOCI $ (1,799 ) $ (3,123 ) $ 517 $ 373 $ (1,282 ) $ (2,750 ) |
Transactions with Related Par45
Transactions with Related Parties (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Related Party Transaction [Line Items] | |
Related Party Transactions, by Balance Sheet Grouping | The following table includes significant outstanding related party member balances. December 31, (in thousands) 2015 2014 Investments $ 176,345 $ 157,025 Advances 54,610,238 38,765,267 Letters of credit (1) 8,245,423 9,608,983 MPF loans 1,052,569 1,326,807 Deposits 24,636 13,678 Capital stock 2,366,721 1,714,432 Note: (1) Letters of credit are off-balance sheet commitments. |
Related Party Transactions, Income Statement | The following table summarizes the effects on the Statement of Income corresponding to the related party member balances above. Amounts related to interest income on investments and interest expense on deposits were immaterial for the periods presented. Year ended December 31, (in thousands) 2015 2014 2013 Interest income on advances (1) $ 200,743 $ 138,121 $ 131,092 Interest income on MPF loans 64,002 80,674 101,353 Letter of credit fees 10,796 8,481 1,609 Prepayment fees on advances — 13,787 — Notes: (1) For 2015, 2014 and 2013, respectively, includes contractual interest income of $341.5 million , $319.5 million , and $348.2 million ; net interest settlements on derivatives in fair value hedge relationships of $(139.8) million , $(177.8) million , and $(214.3) million ; and total amortization of basis adjustments of $(0.9) million , $(3.6) million , and $(2.8) million . |
Schedule of Related Party Transactions, Mortgage Loans | The following table includes the MPF activity of the related party members. (in thousands) 2015 2014 2013 Total MPF loan volume purchased $ 8,756 $ 13,049 $ 14,558 |
FHLBank of Chicago [Member] | |
Related Party Transaction [Line Items] | |
Schedule of Related Party Transactions, Mortgage Loans | The following table summarizes the effect of the MPF activities with FHLBank of Chicago. Year ended December 31, (in thousands) 2015 2014 2013 Servicing fee expense $ 1,147 $ 994 $ 916 December 31, (in thousands) 2015 2014 Interest-bearing deposits maintained with FHLBank of Chicago $ 6,075 $ 6,782 |
Estimated Fair Values (Tables)
Estimated Fair Values (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Fair Value Disclosures [Abstract] | |
Fair Value Summary | The carrying value and estimated fair value of the Banks’ financial instruments at December 31, 2015 and 2014 are presented in the table below. Fair Value Summary Table December 31, 2015 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 2,376,964 $ 2,376,964 $ — $ — $ — $ 2,376,964 Interest-bearing deposits 6,075 — 6,075 — — 6,075 Federal funds sold 3,980,000 — 3,979,884 — — 3,979,884 Securities purchased under agreement to resell 1,000,000 — 999,984 — — 999,984 Trading securities 394,737 5,442 389,295 — — 394,737 AFS securities 8,099,894 1,998 7,265,988 831,908 — 8,099,894 HTM securities 2,663,304 — 2,171,206 512,865 — 2,684,071 Advances 74,504,776 — 74,434,577 — — 74,434,577 Mortgage loans held for portfolio, net 3,086,855 — 3,219,846 — — 3,219,846 BOB loans, net 11,276 — — 11,276 — 11,276 Accrued interest receivable 107,345 — 107,345 — — 107,345 Derivative assets 65,855 — 70,478 — (4,623 ) 65,855 Liabilities: Deposits $ 685,937 $ — $ 685,951 $ — $ — $ 685,951 Discount notes 42,276,815 — 42,269,700 — — 42,269,700 Bonds 48,605,982 — 48,660,776 — — 48,660,776 Mandatorily redeemable capital stock (1) 6,053 6,130 — — — 6,130 Accrued interest payable (1) 92,765 — 92,688 — — 92,688 Derivative liabilities 42,508 — 331,738 — (289,230 ) 42,508 December 31, 2014 (in thousands) Carrying Value Level 1 Level 2 Level 3 Netting Adjust. (2) Estimated Fair Value Assets: Cash and due from banks $ 2,451,131 $ 2,451,131 $ — $ — $ — $ 2,451,131 Interest-bearing deposits 6,782 — 6,782 — — 6,782 Federal funds sold 4,585,000 — 4,584,981 — — 4,584,981 Trading securities 281,016 4,721 276,295 — — 281,016 AFS securities 8,408,835 1,998 7,424,055 982,782 — 8,408,835 HTM securities 3,246,788 — 2,600,638 685,909 — 3,286,547 Advances 63,408,355 — 63,471,078 — — 63,471,078 Mortgage loans held for portfolio, net 3,123,334 — 3,312,186 — — 3,312,186 BOB loans, net 11,567 — — 11,567 — 11,567 Accrued interest receivable 86,109 — 86,109 — — 86,109 Derivative assets 36,217 — 111,772 — (75,555 ) 36,217 Liabilities: Deposits $ 641,180 $ — $ 641,183 $ — $ — $ 641,183 Discount notes 37,058,118 — 37,059,347 — — 37,059,347 Bonds 43,714,510 — 43,881,951 — — 43,881,951 Mandatorily redeemable capital stock (1) 586 705 — — — 705 Accrued interest payable (1) 103,151 — 103,032 — — 103,032 Derivative liabilities 58,964 — 467,685 — (408,721 ) 58,964 Notes: (1) The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. (2) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. |
Fair Value Measurements | Fair Value Measurements. The following tables present, for each hierarchy level, the Bank’s assets and liabilities that are measured at fair value on a recurring or non-recurring basis on its Statements of Condition at December 31, 2015 and 2014 . The Bank measures certain mortgage loans held for portfolio at fair value when a charge-off is recognized. Real estate owned is measured using fair value when the assets' fair value less costs to sell is lower than the carrying amount. December 31, 2015 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Recurring fair value measurements - Assets: Trading securities: GSE and TVA obligations $ — $ 389,295 $ — $ — $ 389,295 Mutual funds 5,442 — — — 5,442 Total trading securities $ 5,442 $ 389,295 $ — $ — $ 394,737 AFS securities: GSE and TVA obligations $ — $ 3,469,205 $ — $ — $ 3,469,205 State or local agency obligations — 134,120 — — 134,120 Mutual funds 1,998 — — — 1,998 Other U.S. obligations single family MBS — 268,536 — — 268,536 GSE single family MBS — 2,383,630 — — 2,383,630 GSE multifamily MBS — 1,010,497 — — 1,010,497 Private label MBS: Private label residential MBS — — 822,740 — 822,740 HELOCs — — 9,168 — 9,168 Total AFS securities $ 1,998 $ 7,265,988 $ 831,908 $ — $ 8,099,894 Derivative assets: Interest rate related $ — $ 70,225 $ — $ (4,623 ) $ 65,602 Mortgage delivery commitments — 253 — — 253 Total derivative assets $ — $ 70,478 $ — $ (4,623 ) $ 65,855 Total recurring assets at fair value $ 7,440 $ 7,725,761 $ 831,908 $ (4,623 ) $ 8,560,486 Recurring Fair Value Measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 331,738 $ — $ (289,230 ) $ 42,508 Total recurring liabilities at fair value (2) $ — $ 331,738 $ — $ (289,230 ) $ 42,508 Non-recurring fair value measurements - Assets Impaired mortgage loans held for portfolio (3) $ — $ — $ 32,294 $ — $ 32,294 Real estate owned (3) — — 8,175 — 8,175 Total non-recurring assets at fair value $ — $ — $ 40,469 $ — $ 40,469 December 31, 2014 (in thousands) Level 1 Level 2 Level 3 Netting Adjustment (1) Total Recurring fair value measurements - Assets: Trading securities: GSE and TVA Obligations $ — $ 276,295 $ — $ — $ 276,295 Mutual funds 4,721 — — — 4,721 Total trading securities $ 4,721 $ 276,295 $ — $ — $ 281,016 AFS securities: GSE and TVA securities $ — $ 3,233,703 $ — $ — $ 3,233,703 State or local agency obligations — 98,984 — — 98,984 Mutual funds 1,998 — — — 1,998 Other U.S. obligations single family MBS — 329,379 — — 329,379 GSE single family MBS — 2,882,162 — — 2,882,162 GSE multifamily MBS — 879,827 — — 879,827 Private label MBS: Private label residential MBS — — 971,083 — 971,083 HELOCs — — 11,699 — 11,699 Total AFS securities $ 1,998 $ 7,424,055 $ 982,782 $ — $ 8,408,835 Derivative assets: Interest rate related $ — $ 111,338 $ — $ (75,555 ) $ 35,783 Mortgage delivery commitments — 434 — — 434 Total derivative assets $ — $ 111,772 $ — $ (75,555 ) $ 36,217 Total recurring assets at fair value $ 6,719 $ 7,812,122 $ 982,782 $ (75,555 ) $ 8,726,068 Recurring Fair Value Measurements - Liabilities Derivative liabilities: Interest rate related $ — $ 467,685 $ — $ (408,721 ) $ 58,964 Total recurring liabilities at fair value (2) $ — $ 467,685 $ — $ (408,721 ) $ 58,964 Note: (1) Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. (2) Derivative liabilities represent the total liabilities at fair value. (3) These amounts were immaterial for the year ended December 31, 2014. The estimated fair values of impaired mortgage loans held for portfolio and real estate owned are determined based on values provided by a third party's retail-based AVM. The Bank adjusts the AVM value based on the amount it has historically received on liquidation |
Reconciliation of Level 3 Assets and Liabilities | The following table presents a reconciliation of all assets and liabilities that are measured at fair value on the Statements of Condition using significant unobservable inputs (Level 3) for the years ended December 31, 2015 , 2014 and 2013 . For instruments carried at fair value, the Bank reviews the fair value hierarchy classifications on a quarterly basis. Changes in the observability of the valuation attributes may result in a reclassification of certain financial assets or liabilities. Such reclassifications are reported as transfers in/out at fair value in the quarter in which the changes occur and transfers are reported as of the beginning of the period. During 2015 , the Bank transferred three private label MBS from its HTM portfolio to its AFS portfolio, in the period in which the OTTI charge was recorded. There were no Level 3 transfers during 2014 and 2013 . (in thousands) AFS Private Label MBS-Residential Year Ended December 31, 2015 AFS Private Label MBS- HELOCs Year Ended December 31, 2015 Balance at January 1 $ 971,083 $ 11,699 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 18,479 1,382 Net OTTI losses, credit portion (894 ) — Net unrealized (losses) on AFS in OCI (46 ) — Reclassification of non-credit portion included in net income 509 — Net change in fair value on OTTI AFS in OCI 1,185 — Unrealized (losses) on OTTI AFS in OCI (20,651 ) (859 ) Purchases, issuances, sales, and settlements: Settlements (157,211 ) (3,054 ) Transfer of OTTI securities from HTM to AFS 10,286 — Balance at December 31 $ 822,740 $ 9,168 Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2015 $ 17,585 $ 1,382 (in thousands) AFS Private Label MBS-Residential Year Ended December 31, 2014 AFS Private Label MBS-HELOCs Year Ended December 31, 2014 Balance at January 1 $ 1,123,624 $ 14,428 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income 12,864 1,415 Net unrealized (losses) on AFS in OCI (127 ) — Net change in fair value on OTTI AFS in OCI 2,804 109 Unrealized gains on OTTI AFS in OCI 14,298 (402 ) Purchases, issuances, sales, and settlements: Settlements (182,380 ) (3,851 ) Transfer of OTTI securities from HTM to AFS — — Balance at December 31 $ 971,083 $ 11,699 Total amount of gains for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2014 $ 12,864 $ 1,415 (in thousands) AFS Private Label MBS-Residential Year Ended December 31, 2013 AFS Private Label MBS-HELOCs Year Ended December 31, 2013 Balance at January 1 $ 1,410,476 $ 14,758 Total gains (losses) (realized/unrealized) included in: Accretion of credit losses in interest income (538 ) 873 Net OTTI losses, credit portion (345 ) (97 ) Net unrealized gains on AFS in OCI 204 — Reclassification of non-credit portion included in net income 345 97 Net change in fair value on OTTI AFS in OCI 25,073 326 Unrealized gains on OTTI AFS in OCI 30,574 2,228 Purchases, issuances, sales, and settlements: Settlements (342,165 ) (3,757 ) Balance at December 31 $ 1,123,624 $ 14,428 Total amount of gains (losses) for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held at December 31, 2013 $ (883 ) $ 776 |
Commitments and Contingencies (
Commitments and Contingencies (Tables) | 12 Months Ended |
Dec. 31, 2015 | |
Commitments and Contingencies Disclosure [Abstract] | |
Off-Balance Sheet Commitments | The following table presents the Bank’s various off-balance sheet commitments which are described in detail below. (in thousands) December 31, 2015 December 31, 2014 Notional amount Expiration Date Within One Year Expiration Date After One Year (3) Total Total Standby letters of credit outstanding (1) (2) $ 20,171,604 $ — $ 20,171,604 $ 19,942,125 Commitments to fund additional advances and BOB loans 405,634 75,000 480,634 21,124 Commitments to fund or purchase mortgage loans 9,950 — 9,950 18,308 Unsettled consolidated obligation bonds, at par (3) 261,000 — 261,000 95,530 Unsettled consolidated obligation discount notes, at par — — — 500,000 Notes : (1) Excludes approved requests to issue future standby letters of credit of $136.4 million and $146.8 million at December 31, 2015 and 2014 , respectively. (2) $5.5 billion of these letters of credit have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of 5 years. (3) Includes $115.0 million and $83.1 million of consolidated obligation bonds which were hedged with associated interest rate swaps at December 31, 2015 and 2014 , respectively. |
Schedule of Future Minimum Rental Payments for Operating Leases | The table below presents the future minimum rentals for operating leases as of December 31, 2015 . December 31, 2015 (in thousands) Premises and Equipment 2016 $ 2,017 2017 1,975 2018 1,849 2019 1,829 2020 1,861 Thereafter 8,229 Total $ 17,760 |
Background Information (Details
Background Information (Details) | Dec. 31, 2015Banks |
Nature of Operations [Line Items] | |
Number of FHLBanks | 11 |
Minimum [Member] | |
Nature of Operations [Line Items] | |
Related Party Transaction, Definition, Capital Stock, Percent | 10.00% |
Cash and Due from Banks (Detail
Cash and Due from Banks (Details) - USD ($) $ in Millions | 12 Months Ended | |
Dec. 31, 2015 | Dec. 31, 2014 | |
Cash and Cash Equivalents [Line Items] | ||
Average Collected Cash Balances | $ 298.8 | $ 141.6 |
Pass-through Reserve | $ 22.4 | $ 26.6 |
Trading Securities (Details)
Trading Securities (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 394,737 | $ 281,016 |
Deferred Compensation Liabilities | 5,600 | 4,900 |
Mutual Funds [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | 5,442 | 4,721 |
GSE securities and Tennessee Valley Authority (TVA) obligations [Member] | ||
Schedule of Trading Securities and Other Trading Assets [Line Items] | ||
Trading securities | $ 389,295 | $ 276,295 |
Trading Securities (Net Gains (
Trading Securities (Net Gains (Losses) on Trading Securities) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Trading Securities [Abstract] | |||
Net gains (losses) on trading securities held at period end | $ 1,598 | $ 22,322 | $ (4,559) |
Net realized gains (losses) on securities sold/matured during the year | 0 | 86 | (35) |
Net gains (losses) on trading securities | $ 1,598 | $ 22,408 | $ (4,594) |
Available-for-Sale (AFS) Secu52
Available-for-Sale (AFS) Securities (Summary of Available-for-Sale Securities) (Details) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | ||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | $ 8,018,176,000 | $ 8,281,924,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | (889,000) | (863,000) | |
Gross Unrealized Gain | 107,331,000 | 140,268,000 | ||
Gross Unrealized Losses | (24,724,000) | (12,494,000) | ||
Fair Value | 8,099,894,000 | 8,408,835,000 | ||
Total Non-MBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 3,603,696,000 | 3,322,152,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | 0 | 0 | |
Gross Unrealized Gain | 17,392,000 | 18,418,000 | ||
Gross Unrealized Losses | (15,765,000) | (5,885,000) | ||
Fair Value | 3,605,323,000 | 3,334,685,000 | ||
Mutual Funds [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 1,993,000 | 1,993,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | 0 | 0 | |
Gross Unrealized Gain | 5,000 | 5,000 | ||
Gross Unrealized Losses | 0 | 0 | ||
Fair Value | 1,998,000 | 1,998,000 | ||
GSE and TVA obligations [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 3,468,665,000 | 3,221,543,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | 0 | 0 | |
Gross Unrealized Gain | 15,332,000 | 17,661,000 | ||
Gross Unrealized Losses | (14,792,000) | (5,501,000) | ||
Fair Value | 3,469,205,000 | 3,233,703,000 | ||
State or local agency obligations | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 133,038,000 | 98,616,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | 0 | 0 | |
Gross Unrealized Gain | 2,055,000 | 752,000 | ||
Gross Unrealized Losses | (973,000) | (384,000) | ||
Fair Value | 134,120,000 | 98,984,000 | ||
Total MBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 4,414,480,000 | 4,959,772,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | (889,000) | (863,000) | |
Gross Unrealized Gain | 89,939,000 | 121,850,000 | ||
Gross Unrealized Losses | (8,959,000) | (6,609,000) | ||
Fair Value | 4,494,571,000 | 5,074,150,000 | ||
Other US Obligations single family MBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 268,105,000 | 328,787,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | 0 | 0 | |
Gross Unrealized Gain | 501,000 | 592,000 | ||
Gross Unrealized Losses | (70,000) | 0 | ||
Fair Value | 268,536,000 | 329,379,000 | ||
Private label MBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 759,275,000 | 888,621,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | (889,000) | (863,000) | |
Gross Unrealized Gain | 73,859,000 | 95,314,000 | ||
Gross Unrealized Losses | (337,000) | (290,000) | ||
Fair Value | 831,908,000 | 982,782,000 | ||
HELOCs | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 7,572,000 | 9,245,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | 0 | 0 | |
Gross Unrealized Gain | 1,596,000 | 2,454,000 | ||
Gross Unrealized Losses | 0 | 0 | ||
Fair Value | 9,168,000 | 11,699,000 | ||
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 751,703,000 | 879,376,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | [2] | (889,000) | (863,000) | |
Gross Unrealized Gain | 72,263,000 | 92,860,000 | ||
Gross Unrealized Losses | (337,000) | (290,000) | ||
Fair Value | 822,740,000 | 971,083,000 | ||
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 2,378,589,000 | 2,869,855,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | 0 | 0 | [2] | |
Gross Unrealized Gain | 9,965,000 | 16,433,000 | ||
Gross Unrealized Losses | (4,924,000) | (4,126,000) | ||
Fair Value | 2,383,630,000 | 2,882,162,000 | ||
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Amortized Cost | [1] | 1,008,511,000 | 872,509,000 | |
Accumulated Other Comprehensive Income (Loss), Other than Temporary Impairment, Not Credit Loss, Net of Tax, Available-for-sale, Debt Securities | 0 | 0 | [2] | |
Gross Unrealized Gain | 5,614,000 | 9,511,000 | ||
Gross Unrealized Losses | (3,628,000) | (2,193,000) | ||
Fair Value | $ 1,010,497,000 | $ 879,827,000 | ||
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. | |||
[2] | Represents the non-credit portion of an OTTI recognized during the life of the security. |
Available-for-Sale (AFS) Secu53
Available-for-Sale (AFS) Securities (Reconciliation of Available-for-Sale Securities OTTI Loss) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Reconciliation Table of AFS AOCI [Line Items] | |||
Non-credit portion of OTTI losses | $ (889) | $ (863) | |
Net unrealized gains on OTTI securities since their last OTTI credit charge | 73,859 | 95,314 | |
Net non-credit portion of OTTI gains on AFS securities in AOCI | [1] | 889 | 863 |
Accumulated Other-than-Temporary Impairment Attributable to Parent [Member] | |||
Reconciliation Table of AFS AOCI [Line Items] | |||
Net non-credit portion of OTTI gains on AFS securities in AOCI | $ 72,970 | $ 94,451 | |
[1] | Represents the non-credit portion of an OTTI recognized during the life of the security. |
Available-for-Sale (AFS) Secu54
Available-for-Sale (AFS) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | $ 3,460,430 | $ 1,878,058 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (19,012) | (4,692) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 324,006 | 796,869 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (6,601) | (8,665) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 3,784,436 | 2,674,927 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | [1] | (25,613) | (13,357) |
GSE and TVA obligations [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 2,396,493 | 1,783,202 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (12,937) | (4,380) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 184,772 | 322,691 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (1,855) | (1,121) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 2,581,265 | 2,105,893 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | [1] | (14,792) | (5,501) |
State or local agency [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 41,727 | 1,576 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (863) | (14) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 3,890 | 11,385 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (110) | (370) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 45,617 | 12,961 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | [1] | (973) | (384) |
Non-MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 2,438,220 | 1,784,778 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (13,800) | (4,394) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 188,662 | 334,076 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (1,965) | (1,491) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 2,626,882 | 2,118,854 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | [1] | (15,765) | (5,885) |
Other US Obligations single family MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 70,490 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (48) | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 11,984 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (22) | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 82,474 | ||
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | [1] | (70) | |
Total MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 1,022,210 | 93,280 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (5,212) | (298) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 135,344 | 462,793 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (4,636) | (7,174) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 1,157,554 | 556,073 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | [1] | (9,848) | (7,472) |
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 65,080 | 58,553 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (775) | (191) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 9,332 | 49,383 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (451) | (962) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 74,412 | 107,936 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | [1] | (1,226) | (1,153) |
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 465,658 | 19,405 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (761) | (3) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 114,028 | 228,257 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | (4,163) | (4,123) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 579,686 | 247,662 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | [1] | (4,924) | (4,126) |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than Twelve Months, Fair Value | 420,982 | 15,322 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Less than 12 Months, Accumulated Loss | (3,628) | (104) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Twelve Months or Longer, Fair Value | 0 | 185,153 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, 12 Months or Longer, Accumulated Loss | 0 | (2,089) | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Fair Value | 420,982 | 200,475 | |
Available-for-sale Securities, Continuous Unrealized Loss Position, Accumulated Loss | [1] | $ (3,628) | $ (2,193) |
[1] | Total unrealized losses equal the sum of “OTTI Recognized in AOCI” and “Gross Unrealized Losses” in the first two tables of this Note 5. |
Available-for-Sale (AFS) Secu55
Available-for-Sale (AFS) Securities (Securities Transferred) (Details) $ in Thousands | 3 Months Ended | 12 Months Ended | |||
Dec. 31, 2015USD ($) | Jun. 30, 2015USD ($) | Dec. 31, 2015USD ($)loan | Dec. 31, 2014USD ($)loan | Dec. 31, 2013USD ($)loan | |
Schedule of Available-for-sale Securities [Line Items] | |||||
Fair Value | $ 10,286 | $ 0 | $ 0 | ||
Private label MBS [Member] | |||||
Schedule of Available-for-sale Securities [Line Items] | |||||
Number of Available-for-sale Securities Transferred from Held-to-maturity Securities | loan | 3 | 0 | 0 | ||
Amortized Cost | $ 7,556 | $ 4,394 | $ 11,950 | ||
Held to Maturity Securities Transferred to Available for Sale Securities During Period, Other Than Temporary Impairment Recognized in Accumulated Other Comprehensive Income | (638) | (1,026) | (1,664) | ||
Fair Value | $ 6,918 | $ 3,368 | $ 10,286 |
Available-for-Sale (AFS) Secu56
Available-for-Sale (AFS) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Amortized Cost: | |||
Amortized Cost | [1] | $ 8,018,176 | $ 8,281,924 |
Fair Value: | |||
Fair Value | 8,099,894 | 8,408,835 | |
Non-MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Due in one year or less, Amortized Cost | 28,706 | 301,985 | |
Available-for-sale Securities, Debt Maturities, Next Rolling Twelve Months, Fair Value | 28,688 | 302,087 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Amortized Cost Basis | 1,925,398 | 2,058,695 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Two Through Five, Fair Value | 1,919,024 | 2,054,517 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Amortized Cost Basis | 812,550 | 662,805 | |
Available-for-sale Securities, Debt Maturities, Rolling Year Six Through Ten, Fair Value | 825,558 | 676,064 | |
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Amortized Cost Basis | 837,042 | 298,667 | |
Available-for-sale Securities, Debt Maturities, Rolling after Year Ten, Fair Value | 832,053 | 302,017 | |
Amortized Cost: | |||
Amortized Cost | [1] | 3,603,696 | 3,322,152 |
Fair Value: | |||
Fair Value | 3,605,323 | 3,334,685 | |
MBS [Member] | |||
Amortized Cost: | |||
Amortized Cost | [1] | 4,414,480 | 4,959,772 |
Fair Value: | |||
Fair Value | $ 4,494,571 | $ 5,074,150 | |
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. |
Available-for-Sale (AFS) Secu57
Available-for-Sale (AFS) Securities (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | $ 8,018,176 | $ 8,281,924 |
Non-MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 3,603,696 | 3,322,152 |
MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | [1] | 4,414,480 | 4,959,772 |
Fixed-rate | Non-MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | 3,518,980 | 2,902,430 | |
Fixed-rate | MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | 1,593,414 | 2,002,208 | |
Variable interest rate [Member] | Non-MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | 84,716 | 419,722 | |
Variable interest rate [Member] | MBS [Member] | |||
Schedule of Available-for-sale Securities [Line Items] | |||
Amortized Cost | $ 2,821,066 | $ 2,957,564 | |
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, previous OTTI recognized in earnings, and/or fair value hedge accounting adjustments. |
Available-for-Sale (AFS) Secu58
Available-for-Sale (AFS) Securities (Realized Gains and Losses on Securities) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Schedule of Available-for-sale Securities [Line Items] | |||
Proceeds from sale of AFS securities | $ 0 | $ 0 | $ 19,909 |
Available-for-sale Securities, Gross Realized Losses | $ 0 | $ 0 | $ (41) |
Available-for-Sale (AFS) Secu59
Available-for-Sale (AFS) Securities (Narrative) (Details) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015USD ($)loan | Dec. 31, 2014USD ($)loan | Dec. 31, 2013USD ($)loan | Dec. 31, 2012USD ($) | |
Schedule of Available-for-sale Securities [Line Items] | ||||
Supplemental retirement obligation | $ 8,549 | $ 9,020 | ||
Credit losses | 265,379 | 290,935 | $ 314,224 | $ 326,024 |
MBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Available For Sale Securities, Unamortized Discount (Premium), Net | $ 9,700 | $ 9,500 | ||
Private label MBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Number of securities transferred from HTM to AFS | loan | 3 | 0 | 0 | |
SERP [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Supplemental retirement obligation | $ 6,673 | $ 7,030 | ||
Available-for-sale Securities [Member] | MBS [Member] | ||||
Schedule of Available-for-sale Securities [Line Items] | ||||
Credit losses | 205,900 | 222,500 | ||
OTTI related accretion adjustment | $ 31,500 | $ 11,700 |
Held-to-Maturity (HTM) Securi60
Held-to-Maturity (HTM) Securities (Summary of Held-to-Maturity Securities) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,663,304 | $ 3,246,788 |
Gross Unrealized Holding Gains | 42,069 | 64,463 |
Gross Unrealized Holding Losses | (21,302) | (24,704) |
Fair Value | 2,684,071 | 3,286,547 |
GSE and TVA obligations [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 13,041 | |
Gross Unrealized Holding Gains | 382 | |
Gross Unrealized Holding Losses | 0 | |
Fair Value | 13,423 | |
State or local agency [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 169,520 | 184,412 |
Gross Unrealized Holding Gains | 118 | 1,314 |
Gross Unrealized Holding Losses | (14,484) | (15,445) |
Fair Value | 155,154 | 170,281 |
Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 169,520 | 197,453 |
Gross Unrealized Holding Gains | 1,696 | |
Gross Unrealized Holding Losses | (15,445) | |
Fair Value | 155,154 | 183,704 |
Other US Obligations single family MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 819,602 | 1,122,537 |
Gross Unrealized Holding Gains | 5,651 | 8,604 |
Gross Unrealized Holding Losses | (5) | 0 |
Fair Value | 825,248 | 1,131,141 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 2,493,784 | 3,049,335 |
Gross Unrealized Holding Gains | 41,951 | 62,767 |
Gross Unrealized Holding Losses | (6,818) | (9,259) |
Fair Value | 2,528,917 | 3,102,843 |
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 516,492 | 691,544 |
Gross Unrealized Holding Gains | 1,717 | 3,506 |
Gross Unrealized Holding Losses | (5,344) | (9,141) |
Fair Value | 512,865 | 685,909 |
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 294,568 | 417,217 |
Gross Unrealized Holding Gains | 4,459 | 7,226 |
Gross Unrealized Holding Losses | (75) | (118) |
Fair Value | 298,952 | 424,325 |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 863,122 | 818,037 |
Gross Unrealized Holding Gains | 30,124 | 43,431 |
Gross Unrealized Holding Losses | (1,394) | 0 |
Fair Value | $ 891,852 | $ 861,468 |
Held-to-Maturity (HTM) Securi61
Held-to-Maturity (HTM) Securities (Summary of Securities with Unrealized Losses) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Fair Value: | ||
Less than 12 Months | $ 273,891 | $ 189,034 |
Greater than 12 Months | 372,679 | 360,833 |
Fair Value | 646,570 | 549,867 |
Unrealized Losses: | ||
Less than 12 Months | (2,117) | (1,345) |
Greater than 12 Months | (19,185) | (23,359) |
Unrealized Losses | (21,302) | (24,704) |
State or local agency [Member] | ||
Fair Value: | ||
Less than 12 Months | 20,154 | 3,361 |
Greater than 12 Months | 110,737 | 116,488 |
Fair Value | 130,891 | 119,849 |
Unrealized Losses: | ||
Less than 12 Months | (1) | (54) |
Greater than 12 Months | (14,483) | (15,391) |
Unrealized Losses | (14,484) | (15,445) |
Other US Obligations single family MBS [Member] | ||
Fair Value: | ||
Less than 12 Months | 10,237 | |
Greater than 12 Months | 0 | |
Fair Value | 10,237 | |
Unrealized Losses: | ||
Less than 12 Months | (5) | |
Greater than 12 Months | 0 | |
Unrealized Losses | (5) | |
MBS [Member] | ||
Fair Value: | ||
Less than 12 Months | 253,737 | 185,673 |
Greater than 12 Months | 261,942 | 244,345 |
Fair Value | 515,679 | 430,018 |
Unrealized Losses: | ||
Less than 12 Months | (2,116) | (1,291) |
Greater than 12 Months | (4,702) | (7,968) |
Unrealized Losses | (6,818) | (9,259) |
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | ||
Fair Value: | ||
Less than 12 Months | 110,665 | 185,673 |
Greater than 12 Months | 252,851 | 233,287 |
Fair Value | 363,516 | 418,960 |
Unrealized Losses: | ||
Less than 12 Months | (717) | (1,291) |
Greater than 12 Months | (4,627) | (7,850) |
Unrealized Losses | (5,344) | (9,141) |
Single Family [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Fair Value: | ||
Less than 12 Months | 0 | 0 |
Greater than 12 Months | 9,091 | 11,058 |
Fair Value | 9,091 | 11,058 |
Unrealized Losses: | ||
Less than 12 Months | 0 | 0 |
Greater than 12 Months | (75) | (118) |
Unrealized Losses | (75) | $ (118) |
Multifamily [Member] | Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | ||
Fair Value: | ||
Less than 12 Months | 132,835 | |
Greater than 12 Months | 0 | |
Fair Value | 132,835 | |
Unrealized Losses: | ||
Less than 12 Months | (1,394) | |
Greater than 12 Months | 0 | |
Unrealized Losses | $ (1,394) |
Held-to-Maturity (HTM) Securi62
Held-to-Maturity (HTM) Securities (Redemption Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,663,304 | $ 3,246,788 |
HTM securities - fair value | 2,684,071 | 3,286,547 |
Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Due in one year or less | 0 | 13,042 |
Due after one year through five years | 0 | 3,415 |
Due after five years through ten years | 57,490 | 21,807 |
Held-to-maturity Securities, Debt Maturities, Rolling after Ten Years, Amortized Cost | 112,030 | 159,189 |
Amortized Cost | 169,520 | 197,453 |
Due in one year or less | 0 | 13,423 |
Due after one year through five years | 0 | 3,361 |
Due after five years through ten years | 55,797 | 22,263 |
Due after ten years | 99,357 | 144,657 |
HTM securities - fair value | 155,154 | 183,704 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 2,493,784 | 3,049,335 |
HTM securities - fair value | $ 2,528,917 | $ 3,102,843 |
Held-to-Maturity (HTM) Securi63
Held-to-Maturity (HTM) Securities (Interest Rate Payment terms of HTM) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 2,663,304 | $ 3,246,788 |
Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 169,520 | 197,453 |
MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 2,493,784 | 3,049,335 |
Fixed-rate | Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 28,565 | 44,453 |
Fixed-rate | MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 1,023,636 | 1,114,059 |
Variable interest rate [Member] | Non-MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | 140,955 | 153,000 |
Variable interest rate [Member] | MBS [Member] | ||
Schedule of Held-to-maturity Securities [Line Items] | ||
Amortized Cost | $ 1,470,148 | $ 1,935,276 |
Other-Than-Temporary Impairme64
Other-Than-Temporary Impairment (Narrative) (Details) | Dec. 31, 2015 |
Other than Temporary Impairment, Disclosure [Line Items] | |
Projected Housing Price Change Rate In the next 12 months - Min | (3.00%) |
Projected Housing price Change Rate in the next 12 months- Max | 8.00% |
Projected Housing Price Change Rate Vast Majority - Min | 2.00% |
Projected Housing Price Change Rate Vast Majority - Max | 5.00% |
Other-Than-Temporary Impairme65
Other-Than-Temporary Impairment (OTTI Securities) (Details) $ in Thousands | Dec. 31, 2015USD ($) | |
Private label MBS [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
AFS Private label MBS - Total Unpaid Principal Balance | $ 950,441 | |
AFS Private label MBS - Total Amortized Cost | 759,275 | [1] |
AFS Private label MBS - Total Fair Value | 831,908 | |
Available-for-sale Securities [Member] | Private label MBS [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Unpaid Principal Balance | 947,281 | |
Unpaid Principal Balance with no OTTI | 3,160 | |
Amortized Cost | 756,115 | [1] |
Amortized Cost with no OTTI | 3,160 | |
Fair Value | 829,084 | |
Fair Value with no OTTI | 2,824 | |
Available-for-sale Securities [Member] | HELOC's [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Unpaid Principal Balance | 10,065 | |
Amortized Cost | 7,572 | |
Fair Value | 9,168 | |
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities [Member] | Private label MBS [Member] | Prime [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Unpaid Principal Balance | 428,561 | |
Amortized Cost | 347,845 | |
Fair Value | 385,510 | |
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities [Member] | Private label MBS [Member] | Alt-A [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Unpaid Principal Balance | 506,768 | |
Amortized Cost | 399,589 | |
Fair Value | 433,160 | |
Residential Mortgage Backed Securities [Member] | Available-for-sale Securities [Member] | Private label MBS [Member] | Subprime [Member] | ||
Other than Temporary Impairment, Disclosure [Line Items] | ||
Unpaid Principal Balance | 1,887 | |
Amortized Cost | 1,109 | |
Fair Value | $ 1,246 | |
[1] | Amortized cost includes adjustments made to the cost basis of an investment for accretion of discounts and/or amortization of premiums, collection of cash, and/or previous OTTI recognized in earnings. |
Other-Than-Temporary Impairme66
Other-Than-Temporary Impairment (Rollforward) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Other than Temporary Impairment, Credit Losses Recognized in Earnings [Roll Forward] | ||||
Beginning balance | $ 290,935 | $ 314,224 | $ 326,024 | |
Credit losses for which OTTI was not previously recognized | 1,794 | 0 | ||
Additional OTTI credit losses for which an OTTI charge was previously recognized (1) | 55 | 0 | 442 | [1] |
Securities sold and matured during the period (2) | 0 | 292 | (59) | [2] |
Increases in cash flows expected to be collected (accreted as interest income over the remaining lives of the applicable securities) | (27,405) | (23,581) | (12,183) | |
Ending balance | $ 265,379 | $ 290,935 | $ 314,224 | |
[1] | For 2015, 2014 and 2013, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2015, 2014 and 2013, respectively. | |||
[2] | Represents reductions related to securities sold or having reached final maturity during the period, and therefore are no longer held by the Bank at the end of the period. |
Advances (Narrative) (Details)
Advances (Narrative) (Details) $ in Thousands | 12 Months Ended | |
Dec. 31, 2015USD ($)Institutions | Dec. 31, 2014USD ($)Institutions | |
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 74,333,273 | $ 63,125,956 |
Federal Home Loan Bank, Advances, Five Largest Borrowers Amount Outstanding | $ 55,100,000 | $ 46,600,000 |
Federal Home Loan Bank, Advances, Five Largest Borrowers, Percent of Total | 74.10% | 73.80% |
Number Of Top Advances Borrowers | Institutions | 5 | 5 |
Federal Home Loan Bank, Advances, Borrowers With Outstanding Loan Balances Greater Than Ten Percent | Institutions | 4 | 3 |
Federal Home Loan Bank, Advances, Convertible Option [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 1,500,000 | $ 1,900,000 |
Federal Home Loan Bank, Advances, Callable Option [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Par Value | $ 12,600,000 | $ 0 |
Minimum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate | 1 day | |
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate | 30 days | |
Interest rate of advances | 0.11% | |
AHP subsidized loans, interest rate | 2.00% | |
Maximum [Member] | ||
Federal Home Loan Bank, Advances [Line Items] | ||
Federal Home Loan Bank, Advances, Maturity Period, Fixed Rate | 30 years | |
Federal Home Loan Bank, Advances, Maturity Period, Variable Rate | 10 years | |
Interest rate of advances | 7.40% | |
AHP subsidized loans, interest rate | 5.50% |
Advances (Portfolio by Year of
Advances (Portfolio by Year of Contractual Maturity) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Federal Home Loan Bank, Advances, Maturity, Rolling Year [Abstract] | ||
Due in 1 year or less | $ 33,192,256 | $ 29,380,685 |
Due after 1 year through 2 years | 18,989,266 | 7,754,473 |
Due after 2 years through 3 years | 13,071,338 | 12,764,348 |
Due after 3 years through 4 years | 6,260,864 | 9,361,638 |
Due after 4 years through 5 years | 1,800,994 | 3,373,989 |
Thereafter | 1,018,555 | 490,823 |
Total par value | 74,333,273 | 63,125,956 |
Discount on AHP advances | (21) | (66) |
Deferred prepayment fees | (4,749) | (8,600) |
Hedging adjustments | 176,273 | 291,065 |
Total book value | $ 74,504,776 | $ 63,408,355 |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate [Abstract] | ||
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Next Twelve Rolling Months | 0.70% | 0.42% |
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Two | 0.99% | 1.22% |
Federal Home Loan Bank Advances, Weighted Average Interest Rate, Maturing in Rolling Year Three | 0.96% | 1.14% |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Four | 0.93% | 0.82% |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing in Rolling Year Five | 1.68% | 0.84% |
Federal Home Loan Bank, Advances, Weighted Average Interest Rate, Maturing after Rolling Year Five | 2.66% | 2.77% |
Total par value, Weighted Average Interest Rate | 0.89% | 0.76% |
Advances (Advances by Year of C
Advances (Advances by Year of Contractual Maturity or Next Call Date or Next Convertible Date) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, Rolling Year, Par Value [Abstract] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Next Rolling Twelve Months | $ 34,692,256 | $ 29,380,685 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Two | 18,939,266 | 7,754,473 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Three | 11,661,338 | 12,764,348 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Four | 6,245,864 | 9,361,638 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, in Rolling Year Five | 1,775,994 | 3,373,989 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Call Date, after Rolling Year Five | 1,018,555 | 490,823 |
Total par value | 74,333,273 | 63,125,956 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, Rolling Year, Par Value [Abstract] | ||
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Next Rolling Twelve Months | 33,771,756 | 31,164,685 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Two | 18,629,266 | 6,846,973 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Three | 12,877,338 | 12,179,348 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Four | 6,255,364 | 9,095,638 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, in Rolling Year Five | 1,800,994 | 3,368,489 |
Federal Home Loan Bank, Advances, Earlier of Contractual Maturity or Next Put or Convert Date, after Rolling Year Five | 998,555 | 470,823 |
Total par value | $ 74,333,273 | $ 63,125,956 |
Advances (Interest Rate Payment
Advances (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Advances [Abstract] | ||
Fixed-rate – overnight | $ 4,681,918 | $ 2,012,230 |
Due in 1 year or less | 13,532,806 | 20,740,508 |
Thereafter | 13,121,108 | 9,116,344 |
Total fixed-rate | 31,335,832 | 31,869,082 |
Variable rate - due in 1 year or less | 14,977,532 | 6,627,947 |
Thereafter | 28,019,909 | 24,628,927 |
Total variable-rate | 42,997,441 | 31,256,874 |
Total par value | $ 74,333,273 | $ 63,125,956 |
Mortgage Loans Held for Portf71
Mortgage Loans Held for Portfolio (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Mortgage Loans on Real Estate [Line Items] | |||
Par value of mortgage loans held for portfolio | $ 3,012,697 | $ 3,058,463 | |
Premiums | 50,857 | 51,214 | |
Discounts | (3,899) | (4,872) | |
Hedging adjustments | 32,865 | 25,789 | |
Total mortgage loans held for portfolio | 3,092,520 | 3,130,594 | |
Government-guaranteed/insured loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Par value of mortgage loans held for portfolio | 248,767 | 278,501 | |
Conventional loans [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Par value of mortgage loans held for portfolio | 2,763,930 | 2,779,962 | |
Single Family [Member] | Loans Receivable With Fixed Rates Of Interest Long Term [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Par value of mortgage loans held for portfolio | [1] | 2,660,615 | 2,640,633 |
Single Family [Member] | Loans Receivable With Fixed Rates Of Interest Medium Term [Member] | |||
Mortgage Loans on Real Estate [Line Items] | |||
Par value of mortgage loans held for portfolio | [1] | $ 352,082 | $ 417,830 |
[1] | Long-term is defined as greater than 15 years. Medium-term is defined as a term of 15 years or less. |
Allowance for Credit Losses (Al
Allowance for Credit Losses (Allowance for Credit Losses) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | $ 7,260 | |||||
Provision (benefit) for credit losses | (167) | $ (4,129) | $ (1,849) | |||
Balance , end of period | 5,665 | 7,260 | ||||
Total recorded investment | [1] | 3,121,704 | 3,160,390 | |||
Conventional MPF Loans [Member] | ||||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | 7,260 | 11,359 | 14,163 | |||
(Charge-offs) Recoveries, net | (815) | 299 | (1,035) | |||
Provision (benefit) for credit losses | (780) | (4,398) | (1,769) | |||
Balance , end of period | 5,665 | 7,260 | 11,359 | |||
Ending balance, individually evaluated for impairment | 5,018 | 6,034 | 795 | |||
Ending balance, collectively evaluated for impairment | 647 | 1,226 | 10,564 | |||
Individually evaluated for impairment, with or without a related allowance | 60,762 | 68,144 | 15,571 | |||
Collectively evaluated for impairment | 2,789,517 | 2,789,826 | 2,919,583 | |||
Total recorded investment | $ 2,850,279 | [1] | 2,857,970 | [1] | 2,935,154 | |
BOB Loans [Member] | ||||||
Financing Receivable, Allowance for Credit Losses [Line Items] | ||||||
Loss Given Default, Rate | 100.00% | |||||
Allowance for Loan and Lease Losses [Roll Forward] | ||||||
Balance, beginning of period | $ 1,840 | 2,231 | 2,481 | |||
(Charge-offs) Recoveries, net | (429) | (610) | (154) | |||
Provision (benefit) for credit losses | 641 | 219 | (96) | |||
Balance , end of period | 2,052 | 1,840 | 2,231 | |||
Ending balance, individually evaluated for impairment | 25 | 0 | 0 | |||
Ending balance, collectively evaluated for impairment | 2,027 | 1,840 | 2,231 | |||
Individually evaluated for impairment, with or without a related allowance | 63 | 0 | 0 | |||
Collectively evaluated for impairment | 13,347 | 13,518 | 13,742 | |||
Total recorded investment | $ 13,410 | [1] | $ 13,518 | [1] | $ 13,742 | |
[1] | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance. |
Allowance for Credit Losses (Cr
Allowance for Credit Losses (Credit Quality Indicators) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | $ 103,626 | $ 137,005 | [1] | |||
Total current loans | [1] | 3,018,078 | 3,023,385 | |||
Total recorded investment | [1] | 3,121,704 | 3,160,390 | |||
In process of foreclosure, included above (2) | [2] | $ 16,709 | $ 29,370 | |||
Serious delinquency rate (3) | 1.00% | 1.60% | [3] | |||
Past due 90 days or more still accruing interest | $ 4,382 | $ 7,024 | ||||
Loans on nonaccrual status | 29,458 | 46,105 | ||||
Conventional MPF Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 79,667 | 104,504 | [1] | |||
Total current loans | 2,770,612 | 2,753,466 | ||||
Total recorded investment | 2,850,279 | [1] | 2,857,970 | [1] | $ 2,935,154 | |
In process of foreclosure, included above (2) | $ 15,353 | $ 26,981 | ||||
Serious delinquency rate (3) | 0.90% | 1.50% | ||||
Past due 90 days or more still accruing interest | $ 0 | |||||
Loans on nonaccrual status | $ 29,075 | 45,900 | ||||
BOB Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 320 | 205 | [1] | |||
Total current loans | 13,090 | 13,313 | ||||
Total recorded investment | 13,410 | [1] | 13,518 | [1] | $ 13,742 | |
In process of foreclosure, included above (2) | $ 0 | $ 0 | ||||
Serious delinquency rate (3) | 1.20% | 0.10% | ||||
Loans on nonaccrual status | $ 383 | $ 205 | ||||
Government-Guaranteed or Insured Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | [1] | 23,639 | 32,296 | |||
Total current loans | 234,376 | 256,606 | ||||
Total recorded investment | [1] | 258,015 | 288,902 | |||
In process of foreclosure, included above (2) | $ 1,356 | $ 2,389 | ||||
Serious delinquency rate (3) | 1.70% | 2.40% | ||||
Past due 90 days or more still accruing interest | $ 4,382 | $ 7,024 | ||||
Loans on nonaccrual status | 0 | 0 | ||||
Financing Receivables, 30 to 59 Days Past Due [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 57,829 | 70,042 | ||||
Financing Receivables, 30 to 59 Days Past Due [Member] | Conventional MPF Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 42,746 | 50,680 | ||||
Financing Receivables, 30 to 59 Days Past Due [Member] | BOB Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 86 | 124 | ||||
Financing Receivables, 30 to 59 Days Past Due [Member] | Government-Guaranteed or Insured Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 14,997 | 19,238 | ||||
Financing Receivables, 60 to 89 Days Past Due [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 16,090 | 17,948 | ||||
Financing Receivables, 60 to 89 Days Past Due [Member] | Conventional MPF Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 11,752 | 11,841 | ||||
Financing Receivables, 60 to 89 Days Past Due [Member] | BOB Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 78 | 73 | ||||
Financing Receivables, 60 to 89 Days Past Due [Member] | Government-Guaranteed or Insured Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 4,260 | 6,034 | ||||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 29,707 | 49,015 | ||||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Conventional MPF Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 25,169 | 41,983 | ||||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | BOB Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | 156 | 8 | ||||
Financing Receivables, Equal to Greater than 90 Days Past Due [Member] | Government-Guaranteed or Insured Loans [Member] | ||||||
Financing Receivable, Recorded Investment [Line Items] | ||||||
Total past due loans | $ 4,382 | $ 7,024 | ||||
[1] | The recorded investment in a loan is the unpaid principal balance of the loan, adjusted for charge-offs of estimated losses, accrued interest, net deferred loan fees or costs, unamortized premiums or unaccreted discounts and adjustments for fair value hedges. The recorded investment is not net of any valuation allowance. | |||||
[2] | Includes loans where the decision of foreclosure or similar alternative such as pursuit of deed-in-lieu has been reported. Loans in process of foreclosure are included in past due or current loans dependent on their delinquency status. | |||||
[3] | Loans that are 90 days or more past due or in the process of foreclosure expressed as a percentage of the total loan portfolio class. |
Allowance for Credit Losses (In
Allowance for Credit Losses (Individually Evaluated Impaired Loans) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Period Loan Receivable Becomes Nonaccrual Status | 180 days | ||
Conventional MPF Loans [Member] | |||
Recorded Investment | |||
With no related allowance | $ 33,737 | $ 31,749 | |
With a related allowance | 27,025 | 36,395 | |
Total recorded investment | 60,762 | 68,144 | |
Unpaid Principal Balance | |||
With no related allowance | 33,428 | 31,448 | |
With a related allowance | 26,774 | 36,175 | |
Total Unpaid Principal Balance | 60,202 | 67,623 | |
Related Allowance for Credit Losses | 5,018 | 6,034 | |
Average Recorded Investment | 63,683 | 74,956 | $ 14,552 |
Interest Income Recognized | $ 1,966 | $ 1,388 | $ 645 |
Allowance for Credit Losses (Na
Allowance for Credit Losses (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Financing Receivable, Allowance for Credit Losses [Line Items] | |||
Maximum Exposure Under First Loss Account | $ 22.7 | $ 23.1 | |
Credit Enhancement Fees | 3 | 3.2 | $ 3.5 |
Financing Receivable, Modifications, Recorded Investment | 16.9 | 16.8 | |
Real Estate Owned (REO) | $ 6.5 | $ 6.9 |
Derivatives and Hedging Activ76
Derivatives and Hedging Activities (Derivatives in Statement of Condition) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | $ 44,569,864 | $ 44,852,966 | |
Derivative Asset, Fair Value, Gross Asset | 70,478 | 111,772 | |
Derivative Liabilities, fair Value, Gross Liability | 331,738 | 467,685 | |
Netting adjustments: Derivative Assets | [1],[2] | (4,623) | (75,555) |
Netting adjustments: Derivative Liabilities | [1],[2] | (289,230) | (408,721) |
Derivative assets | 65,855 | 36,217 | |
Derivative liabilities | 42,508 | 58,964 | |
Derivative Liability, Collateral, Right to Reclaim Cash, Offset | 287,000 | 345,000 | |
Derivative Asset, Collateral, Obligation to Return Cash, Offset | 2,400 | 11,800 | |
Designated as Hedging Instrument [Member] | Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 30,416,262 | 32,196,669 | |
Derivative Asset, Fair Value, Gross Asset | 49,104 | 84,205 | |
Derivative Liabilities, fair Value, Gross Liability | 269,354 | 414,760 | |
Not Designated as Hedging Instrument [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 14,153,602 | 12,656,297 | |
Derivative Asset, Fair Value, Gross Asset | 21,374 | 27,567 | |
Derivative Liabilities, fair Value, Gross Liability | 62,384 | 52,925 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 13,363,652 | 11,937,989 | |
Derivative Asset, Fair Value, Gross Asset | 18,426 | 21,396 | |
Derivative Liabilities, fair Value, Gross Liability | 62,384 | 52,925 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Swaption [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 25,000 | 25,000 | |
Derivative Asset, Fair Value, Gross Asset | 0 | 1,312 | |
Derivative Liabilities, fair Value, Gross Liability | 0 | 0 | |
Not Designated as Hedging Instrument [Member] | Interest Rate Caps | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 755,000 | 675,000 | |
Derivative Asset, Fair Value, Gross Asset | 2,695 | 4,425 | |
Derivative Liabilities, fair Value, Gross Liability | 0 | 0 | |
Not Designated as Hedging Instrument [Member] | Forward Contracts [Member] | Mortgages [Member] | |||
Derivatives, Fair Value [Line Items] | |||
Notional Amount of Derivatives | 9,950 | 18,308 | |
Derivative Asset, Fair Value, Gross Asset | 253 | 434 | |
Derivative Liabilities, fair Value, Gross Liability | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $287.0 million and $345.0 million at December 31, 2015 and 2014. Cash collateral received was $2.4 million and $11.8 million at December 31, 2015 and 2014. | ||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. |
Derivatives and Hedging Activ77
Derivatives and Hedging Activities (Derivatives in Statement of Income) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | $ 4,769 | $ 4,287 | $ 5,687 | |
Net gains (losses) related to derivatives not designated as hedging instruments | (1,389) | (41,787) | 24,564 | |
Net gains (losses) on derivatives and hedging activities | 3,380 | (37,500) | 30,251 | |
Interest Rate Swaps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gain (Loss) on Fair Value Hedge Ineffectiveness, Net | [1] | 4,769 | 4,287 | 5,687 |
Net gains (losses) related to derivatives not designated as hedging instruments | (21,514) | (73,836) | (5,507) | |
Interest Rate Swaption [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 56 | 1,410 | 0 | |
Interest Rate Caps | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | (1,988) | (4,496) | 2,630 | |
Net Interest Settlements [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 10,959 | 26,369 | 20,444 | |
Forward Contracts [Member] | Mortgages [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | 11,074 | 8,739 | 6,982 | |
Intermediary Transactions Other Contract [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Net gains (losses) related to derivatives not designated as hedging instruments | $ 24 | $ 27 | $ 15 | |
[1] | Pertains to total net gains for fair value hedge ineffectiveness. |
Derivatives and Hedging Activ78
Derivatives and Hedging Activities (Derivatives in Statement of Income and Impact on Interest) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | $ 132,319 | $ 291,938 | $ (19,108) | |
Gains/(Losses) on Hedged Item | (127,550) | (287,651) | 24,795 | |
Net Fair Value Hedge Ineffectiveness | 4,769 | 4,287 | 5,687 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | [1] | 626 | (3,390) | (40,579) |
Amortization and accretion of hedged items | 800 | 13,800 | 18,900 | |
Advances | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 110,659 | 249,742 | 290,036 | |
Gains/(Losses) on Hedged Item | (109,811) | (245,817) | (286,937) | |
Net Fair Value Hedge Ineffectiveness | 848 | 3,925 | 3,099 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | (198,536) | (225,722) | (255,143) | |
Consolidated Obligations -bonds [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | 28,735 | 74,726 | (315,332) | |
Gains/(Losses) on Hedged Item | (25,822) | (72,766) | 316,551 | |
Net Fair Value Hedge Ineffectiveness | 2,913 | 1,960 | 1,219 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | 218,194 | 233,774 | 217,753 | |
Available-for-sale Securities [Member] | ||||
Derivative Instruments, Gain (Loss) [Line Items] | ||||
Gains/(Losses) on Derivative | (7,075) | (32,530) | 6,188 | |
Gains/(Losses) on Hedged Item | 8,083 | 30,932 | (4,819) | |
Net Fair Value Hedge Ineffectiveness | 1,008 | (1,598) | 1,369 | |
Gain (Loss) on Fair Value Hedges Recognized in Net Interest Income | $ (19,032) | $ (11,442) | $ (3,189) | |
[1] | Represents the net interest settlements on derivatives in fair value hedge relationships presented in the interest income/expense line item of the respective hedged item. These amounts do not include $0.8 million, $13.8 million and $18.9 million of amortization/accretion of the basis adjustment related to discontinued fair value hedging relationships for the years ended December 31, 2015, 2014 and 2013. |
Derivatives and Hedging Activ79
Derivatives and Hedging Activities (Offsetting Assets) (Details) - USD ($) | Dec. 31, 2015 | Dec. 31, 2014 | |
Derivative [Line Items] | |||
Gross recognized amount | $ 70,225,000 | $ 111,338,000 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (4,623,000) | (75,555,000) |
Net amounts after netting adjustments | 65,602,000 | 35,783,000 | |
Derivative instruments not meeting netting requirements | [3] | 253,000 | 434,000 |
Derivative assets | 65,855,000 | 36,217,000 | |
Non-cash collateral received or pledged not offset: Can be sold or repledged | 0 | (636,000) | |
Net unsecured amount | 65,855,000 | 35,581,000 | |
Uncleared derivatives | |||
Derivative [Line Items] | |||
Gross recognized amount | 39,068,000 | 102,570,000 | |
Gross amounts of netting adjustments and cash collateral | (37,981,000) | (96,286,000) | |
Net amounts after netting adjustments | 1,087,000 | 6,284,000 | |
Derivative instruments not meeting netting requirements | 253,000 | 434,000 | |
Derivative assets | 1,340,000 | 6,718,000 | |
Non-cash collateral received or pledged not offset: Can be sold or repledged | 0 | (636,000) | |
Net unsecured amount | 1,340,000 | 6,082,000 | |
Cleared derivatives | |||
Derivative [Line Items] | |||
Gross recognized amount | 31,157,000 | 8,768,000 | |
Gross amounts of netting adjustments and cash collateral | 33,358,000 | 20,731,000 | |
Net amounts after netting adjustments | 64,515,000 | 29,499,000 | |
Derivative instruments not meeting netting requirements | 0 | 0 | |
Derivative assets | 64,515,000 | 29,499,000 | |
Non-cash collateral received or pledged not offset: Can be sold or repledged | 0 | 0 | |
Net unsecured amount | $ 64,515,000 | $ 29,499,000 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $287.0 million and $345.0 million at December 31, 2015 and 2014. Cash collateral received was $2.4 million and $11.8 million at December 31, 2015 and 2014. | ||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | ||
[3] | Represents derivatives that are not subject to an enforceable netting agreement (e.g., mortgage delivery commitments and certain interest rate futures or forwards). |
Derivatives and Hedging Activ80
Derivatives and Hedging Activities Offsetting liabilities (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | |
Offsetting Liabilities [Line Items] | |||
Gross recognized amount | $ 331,738 | $ 467,685 | |
Gross amounts of netting adjustments and cash collateral | [1],[2] | (289,230) | (408,721) |
Net amounts after netting adjustments | 42,508 | 58,964 | |
Derivative liabilities | 42,508 | 58,964 | |
Net unsecured amount | 42,508 | 58,964 | |
Uncleared derivatives | |||
Offsetting Liabilities [Line Items] | |||
Gross recognized amount | 132,910 | 283,979 | |
Gross amounts of netting adjustments and cash collateral | (90,402) | (225,015) | |
Net amounts after netting adjustments | 42,508 | 58,964 | |
Derivative liabilities | 42,508 | 58,964 | |
Net unsecured amount | 42,508 | 58,964 | |
Cleared derivatives | |||
Offsetting Liabilities [Line Items] | |||
Gross recognized amount | 198,828 | 183,706 | |
Gross amounts of netting adjustments and cash collateral | (198,828) | (183,706) | |
Net amounts after netting adjustments | 0 | 0 | |
Derivative liabilities | $ 0 | $ 0 | |
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $287.0 million and $345.0 million at December 31, 2015 and 2014. Cash collateral received was $2.4 million and $11.8 million at December 31, 2015 and 2014. | ||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. |
Derivatives and Hedging Activ81
Derivatives and Hedging Activities (Narrative) (Details) $ in Millions | Dec. 31, 2015USD ($) |
Derivative Instruments and Hedging Activities Disclosure [Abstract] | |
Derivative, Net Liability Position | $ 96.9 |
Collateral Already Posted | 54.8 |
Additional Collateral | $ 24.3 |
Premises, Software and Equipm82
Premises, Software and Equipment (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Property, Plant and Equipment [Line Items] | ||
Total premises, software and equipment, gross | $ 58,966 | $ 56,633 |
Less: Accumulated depreciation and amortization | 48,279 | 46,187 |
Total premises, software and equipment, net | 10,687 | 10,446 |
Computer hardware and software [Member] | ||
Property, Plant and Equipment [Line Items] | ||
Total premises, software and equipment, gross | 54,593 | 52,369 |
Furniture [Member] | ||
Property, Plant and Equipment [Line Items] | ||
Total premises, software and equipment, gross | 915 | 959 |
Leasehold improvements [Member] | ||
Property, Plant and Equipment [Line Items] | ||
Total premises, software and equipment, gross | 2,478 | 2,331 |
Equipment and other [Member] | ||
Property, Plant and Equipment [Line Items] | ||
Total premises, software and equipment, gross | $ 980 | $ 974 |
Premises, Software and Equipm83
Premises, Software and Equipment (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Property, Plant and Equipment [Line Items] | |||
Depreciation and amortization expense | $ 3.7 | $ 4.3 | $ 5.3 |
Capitalized Computer Software, Amortization | 3.1 | 3.7 | $ 4.5 |
Unamortized software balance | 9.5 | 9 | |
Capitalized costs associated with computer software developed for internal use | $ 3.6 | $ 3.8 | |
Maximum [Member] | |||
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Useful Life | 10 years | ||
Minimum [Member] | |||
Property, Plant and Equipment [Line Items] | |||
Property, Plant and Equipment, Useful Life | 1 year |
Deposits (Details)
Deposits (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Deposits [Abstract] | |||
Term Deposits | $ 0 | $ 0 | |
Weighted Average Rate Interest Bearing Deposits | 0.04% | 0.03% | 0.04% |
Interest-bearing Deposit, Demand | $ 635,468,000 | $ 601,454,000 | |
Noninterest-bearing Deposit, Demand | 50,469,000 | 39,726,000 | |
Total deposits | $ 685,937,000 | $ 641,180,000 |
Consolidated Obligations (Inter
Consolidated Obligations (Interest Rate Payment Terms) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total book value | $ 48,605,982 | $ 43,714,510 |
Consolidated Obligation Bonds [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total Par value | 48,515,658 | 43,602,100 |
Bond premiums | 107,339 | 147,824 |
Bond discounts | (9,629) | (12,111) |
Hedging adjustments | (7,386) | (23,303) |
Total book value | 48,605,982 | 43,714,510 |
Consolidated Obligation Bonds [Member] | Fixed-rate | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total Par value | 31,945,658 | 36,296,100 |
Consolidated Obligation Bonds [Member] | Step Up [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total Par value | 1,860,000 | 3,116,000 |
Consolidated Obligation Bonds [Member] | Variable-rate | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total Par value | 14,650,000 | 4,190,000 |
Consolidated Obligation Bonds [Member] | Conversion bonds - fixed to floating | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total Par value | $ 60,000 | $ 0 |
Consolidated Obligations (Contr
Consolidated Obligations (Contractual Maturity Terms) (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Due in 1 year or less | $ 26,814,155 | $ 15,033,450 |
Due in 1 year or less, Weighted Average Interest Rate | 0.68% | 1.00% |
Due after 1 year through 2 years | $ 8,753,810 | $ 9,316,860 |
Due after 1 year through 2 years, Weighted Average Interest Rate | 1.21% | 1.42% |
Due after 2 years through 3 years | $ 4,998,335 | $ 5,346,515 |
Due after 2 years through 3 years, Weighted Average Interest Rate | 1.46% | 1.64% |
Due after 3 years through 4 years | $ 2,017,720 | $ 4,709,300 |
Due after 3 years through 4 years, Weighted Average Interest Rate | 1.84% | 1.50% |
Due after 4 years through 5 years | $ 2,040,940 | $ 2,911,350 |
Due after 4 years through 5 years, Weighted Average Interest Rate | 1.91% | 1.72% |
Thereafter | $ 3,733,950 | $ 5,959,265 |
Thereafter, Weighted Average Interest Rate | 2.66% | 2.35% |
Index amortizing notes | $ 156,748 | $ 325,360 |
Index amortizing notes, Weighted Average Interest Rate | 4.73% | 4.14% |
Total Par value | $ 48,515,658 | $ 43,602,100 |
Par value of consolidated obligation bonds, Weighted Average Interest Rate | 1.12% | 1.48% |
Consolidated Obligations (Conso
Consolidated Obligations (Consolidated Obligation Bonds Noncallable and Callable) (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total Par value | $ 48,515,658 | $ 43,602,100 |
Noncallable | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total Par value | 41,462,658 | 30,388,100 |
Callable [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Total Par value | $ 7,053,000 | $ 13,214,000 |
Consolidated Obligations (Con88
Consolidated Obligations (Consolidated Obligation Bonds by Earlier of Contractual Maturity or Next Call Date) (Details) - Consolidated Obligation Bonds [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Schedule of Short-term and Long-term Debt [Line Items] | ||
Due in 1 year or less | $ 26,814,155 | $ 15,033,450 |
Due after 1 year through 2 years | 8,753,810 | 9,316,860 |
Due after 2 years through 3 years | 4,998,335 | 5,346,515 |
Due after 3 years through 4 years | 2,017,720 | 4,709,300 |
Due after 4 years through 5 years | 2,040,940 | 2,911,350 |
Thereafter | 3,733,950 | 5,959,265 |
Index amortizing notes | 156,748 | 325,360 |
Total Par value | 48,515,658 | 43,602,100 |
Earlier of Contractual Maturity or Next Call Date [Member] | ||
Schedule of Short-term and Long-term Debt [Line Items] | ||
Due in 1 year or less | 33,517,155 | 28,232,450 |
Due after 1 year through 2 years | 7,778,810 | 8,114,860 |
Due after 2 years through 3 years | 3,672,335 | 3,551,515 |
Due after 3 years through 4 years | 1,202,720 | 1,390,300 |
Due after 4 years through 5 years | 810,940 | 1,028,350 |
Thereafter | 1,376,950 | 959,265 |
Index amortizing notes | 156,748 | 325,360 |
Total Par value | $ 48,515,658 | $ 43,602,100 |
Consolidated Obligations (Con89
Consolidated Obligations (Consolidated Obligation Discount Notes) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Short-term Debt [Line Items] | ||
Book value | $ 42,276,815 | $ 37,058,118 |
Discount Notes [Member] | ||
Short-term Debt [Line Items] | ||
Par value | $ 42,318,509 | $ 37,065,745 |
Weighted average interest rate (1) | 0.32% | 0.10% |
Consolidated Obligations (Narra
Consolidated Obligations (Narrative) (Details) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015USD ($)Banks | Dec. 31, 2014USD ($) | Dec. 31, 2013USD ($) | |
Narrative [Abstract] | |||
Number of FHLBanks | Banks | 11 | ||
FHLB Total CO | $ 905,200,000 | $ 847,200,000 | |
Extinguishment of Debt, Amount | $ 758,000 | ||
Gains on Extinguishment of Debt | 0 | 0 | 9,665 |
Unamortized Debt Issuance Expense | 6,500 | ||
Amortization of concession fees | $ 7,200 | $ 4,300 | $ 4,100 |
Affordable Housing Program (A91
Affordable Housing Program (AHP) (Details) - USD ($) | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Affordable Housing Program [Abstract] | |||
AHP, Contribution Requirement, Amount | $ 100,000,000 | ||
AHP, Contribution Requirement, Percentage | 10.00% | ||
AHP Advances Principal Outstanding | $ 1,400,000 | $ 2,300,000 | |
Affordable Housing Program [Roll Forward] | |||
Balance, beginning of the year | 55,997,000 | 36,353,000 | $ 24,457,000 |
Assessments | 28,519,000 | 28,437,000 | 16,578,000 |
Subsidy usage, net | (13,609,000) | (8,793,000) | (4,682,000) |
Balance, end of the year | $ 70,907,000 | $ 55,997,000 | $ 36,353,000 |
Capital (Capital Requirements)
Capital (Capital Requirements) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Number of Finance Agency Regulatory Capital Requirements | 3 | |
Multiplier for Determining Permanent Capital in Leverage Capital Calculation | 1.5 | |
NumberOfSubclassesOfCapitalStock | 2 | |
Risk-based capital - Required | $ 820,621 | $ 847,424 |
Risk-Based Capital, Actual | $ 4,426,971 | $ 3,879,108 |
Total capital-to-asset ratio - Required | 4.00% | 4.00% |
Total capital-to-asset ratio, Actual | 4.60% | 4.50% |
Total Regulatory Capital, Required | $ 3,853,451 | $ 3,427,083 |
Total Regulatory Capital, Actual | $ 4,426,971 | $ 3,879,108 |
Leverage ratio - Required | 5.00% | 5.00% |
Leverage Ratio, Actual | 6.90% | 6.80% |
Leverage Capital, Required | $ 4,816,814 | $ 4,283,854 |
Leverage capital - Actual | 6,640,456 | 5,818,663 |
Subclass B1 | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Capital Stock | 300,000 | 300,000 |
Subclass B2 | ||
Compliance with Regulatory Capital Requirements under Banking Regulations [Line Items] | ||
Capital Stock | $ 3,200,000 | $ 2,700,000 |
Capital (Capital Concentrations
Capital (Capital Concentrations) (Details) - Capital Stock Ownership By Third Party [Member] - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 |
Capital [Line Items] | ||
% of Total | 10.00% | |
PNC Bank, N.A., Wilmington, DE | ||
Capital [Line Items] | ||
Capital Stock | $ 881,552 | $ 876,305 |
% of Total | 24.90% | 28.80% |
Santander Bank, N.A., Wilmington, DE | ||
Capital [Line Items] | ||
Capital Stock | $ 600,872 | $ 424,955 |
% of Total | 17.00% | 14.00% |
Chase Bank USA, N.A., Wilmington, DE | ||
Capital [Line Items] | ||
Capital Stock | $ 424,502 | $ 362,050 |
% of Total | 12.00% | 11.90% |
Ally Bank, Midvale, UT | ||
Capital [Line Items] | ||
Capital Stock | $ 391,287 | |
% of Total | 11.00% |
Capital (Mandatorily Redeemable
Capital (Mandatorily Redeemable Capital Stock) (Details) | 12 Months Ended | ||
Dec. 31, 2015USD ($)Institutions$ / shares | Dec. 31, 2014USD ($)$ / shares | Dec. 31, 2013USD ($) | |
Capital [Abstract] | |||
Capital stock, par value | $ / shares | $ 100 | $ 100 | |
Balance, end of the period | $ 6,053,000 | $ 586,000 | $ 40,000 |
Financial Instruments Subject to Mandatory Redemption, Number of Stockholders | Institutions | 3 | ||
Financial Instruments Subject to Mandatory Redemption, Due to Institution Mergers | 2 | ||
Financial Instruments Subject to Mandatory Redemption, Redemption, Withdrawals | 1 | ||
Mandatorily Redeemable Capital Stock [Roll Forward] | |||
Balance, beginning of the period | $ 586,000 | 40,000 | 431,566,000 |
Capital stock subject to mandatory redemption reclassified from capital | 36,629,000 | 8,422,000 | 698,000 |
Net redemption/repurchase of mandatorily redeemable stock | (31,162,000) | (7,876,000) | (432,224,000) |
Balance, end of the period | $ 6,053,000 | $ 586,000 | $ 40,000 |
Capital (Mandatorily Redeemab95
Capital (Mandatorily Redeemable Capital Stock by Contractual Year of Redemption) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 |
Capital [Abstract] | ||||
Due after 3 years through 4 years | $ 546 | $ 0 | ||
Due after 4 years through 5 years | 5,507 | 586 | ||
Total | $ 6,053 | $ 586 | $ 40 | $ 431,566 |
Capital (Dividends and Retained
Capital (Dividends and Retained Earnings) (Details) - USD ($) $ in Thousands | Feb. 29, 2016 | Oct. 30, 2015 | Jul. 31, 2015 | Apr. 30, 2015 | Oct. 31, 2014 | Jul. 31, 2014 | Apr. 30, 2014 | Feb. 21, 2014 | Oct. 30, 2013 | Jul. 30, 2013 | Apr. 30, 2013 | Feb. 23, 2013 | Feb. 28, 2015 | Dec. 31, 2015 | Dec. 31, 2014 |
Capital [Line Items] | |||||||||||||||
Joint capital enhancement agreement, percentage | 20.00% | ||||||||||||||
Percent of Average Balance of Outstanding Consolidated Obligations For Each Previous Quarter | 1.00% | ||||||||||||||
Retained Earnings | $ 881,270 | $ 837,547 | |||||||||||||
Unrestricted Retained Earnings | 718,727 | 726,309 | |||||||||||||
Restricted Retained Earnings | $ 162,543 | $ 111,238 | |||||||||||||
Dividends Cash | 4.00% | 4.00% | 4.00% | 2.50% | 1.50% | 1.00% | 0.29% | 0.32% | 4.00% | ||||||
Special Dividends | 2.50% | ||||||||||||||
Subclass B1 | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 3.00% | 3.00% | 3.00% | ||||||||||||
Subclass B1 | Subsequent Event [Member] | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 3.00% | ||||||||||||||
Subclass B2 | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 5.00% | 5.00% | 5.00% | ||||||||||||
Subclass B2 | Subsequent Event [Member] | |||||||||||||||
Capital [Line Items] | |||||||||||||||
Dividends Cash | 5.00% |
Capital (Accumulated Other Comp
Capital (Accumulated Other Comprehensive Income (Loss)) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
AOCI - Balance | $ 80,683 | $ 124,433 | ||
Net unrealized gains (losses) | (23,712) | 64,941 | $ (67,912) | |
Non credit component OTTI losses - Net | (1,156) | 0 | 442 | |
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion from Held-to-maturity to Available-for-sale Securities, before Tax | 1,665 | 0 | 0 | |
Other Comprehensive Income (Loss), Transfers from Held-to-maturity to Available-for-Sale Securities, before Tax | 1,665 | 0 | 0 | |
Net Change in Fair Value of OTTI Securities | (20,325) | 16,809 | 58,201 | |
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Availabe-for-sale Securities, before Tax | 509 | 0 | 442 | |
Reclassifications adjustment included in net income | 0 | 0 | (41) | |
Amortization on hedging activities | 25 | 15 | (1) | |
Net Unrealized Gains(Losses) on AFS [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
AOCI - Balance | 8,748 | 32,460 | (32,481) | $ 35,390 |
Net unrealized gains (losses) | (23,712) | 64,941 | (67,912) | |
Reclassifications adjustment included in net income | 41 | |||
Net Unrealized Gains (losses) on Hedging Activities | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
AOCI - Balance | 247 | 272 | 287 | 286 |
Amortization on hedging activities | (25) | (15) | 1 | |
Pension and Post Retirement Plans [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
AOCI - Balance | (1,282) | (2,750) | (1,108) | (970) |
Other Comprehensive (Income) Loss, Reclassification Adjustment from AOCI, Pension and Other Postretirement Benefit Plans, before Tax | 1,468 | (1,642) | (138) | |
Total AOCI [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
AOCI - Balance | 80,683 | 124,433 | 44,340 | 53,705 |
Net unrealized gains (losses) | (45,222) | 78,837 | (35,110) | |
Non credit component OTTI losses - Net | (1,665) | |||
Net Change in Fair Value of OTTI Securities | 1,185 | 2,913 | 25,399 | |
Reclassification adjustment of noncredit OTTI losses included in net income | 509 | 442 | ||
Reclassifications adjustment included in net income | 41 | |||
Amortization on hedging activities | (25) | (15) | 1 | |
Other Comprehensive (Income) Loss, Reclassification Adjustment from AOCI, Pension and Other Postretirement Benefit Plans, before Tax | 1,468 | (1,642) | (138) | |
Available-for-sale Securities [Member] | Noncredit OTTI Gains(Losses) [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
AOCI - Balance | 72,970 | 94,451 | 77,642 | 18,999 |
Net unrealized gains (losses) | (21,510) | 13,896 | 32,802 | |
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion from Held-to-maturity to Available-for-sale Securities, before Tax | 1,665 | |||
Net Change in Fair Value of OTTI Securities | 1,185 | $ 2,913 | 25,399 | |
Other than Temporary Impairment Losses, Investments, Reclassification Adjustment of Noncredit Portion Included in Net Income, Availabe-for-sale Securities, before Tax | 509 | 442 | ||
Held-to-maturity Securities [Member] | Noncredit OTTI Gains(Losses) [Member] | ||||
Accumulated Other Comprehensive Income (Loss) [Line Items] | ||||
AOCI - Balance | $ 0 | $ 0 | ||
Non-credit component of OTTI losses | (1,665) | |||
Other Comprehensive Income (Loss), Transfers from Held-to-maturity to Available-for-Sale Securities, before Tax | $ 1,665 |
Employee Retirement Plans (Mult
Employee Retirement Plans (Multiemployer Plan) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||||||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Jul. 01, 2015 | Jul. 01, 2014 | Jul. 01, 2013 | |||
Multiemployer Plans [Line Items] | ||||||||
Multiemployer Plan Number | 333 | |||||||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | $ 1,200 | $ 953 | $ 960 | |||||
Pentegra Defined Benefit Plan [Member] | ||||||||
Multiemployer Plans [Line Items] | ||||||||
Net pension cost charged to compensation and benefit expense for the year ended December 31 | 4,687 | 7,247 | 8,876 | |||||
Defined Benefit Plan funded status as of July 1 | 106.90% | [1] | 111.40% | [2] | 101.30% | |||
Bank’s funded status as of July 1 | 126.70% | 128.60% | 107.80% | |||||
Discretionary Pension Contributions | $ 4,300 | $ 6,900 | $ 8,500 | |||||
Multiemployer Plans, Pension [Member] | ||||||||
Multiemployer Plans [Line Items] | ||||||||
Entity Tax Identification Number | 135,645,888 | |||||||
[1] | The Defined Benefit Plan’s funded status as of July 1, 2015 is preliminary and may increase because the plan’s participants are permitted to make contributions for the plan year ended June 30, 2015 through March 15, 2016. The final funded status will not be available until the Form 5500 is filed (this Form 5500 is due April 2017). | |||||||
[2] | The funded status disclosed was preliminary as the Form 5500 had not been filed when disclosed. The Bank did not update this preliminary funded status for final results. |
Employee Retirement Plans (Narr
Employee Retirement Plans (Narrative) (Details) - USD ($) $ in Millions | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Employee Retirement Plans [Line Items] | |||
Defined Contribution Plan, Cost Recognized | $ 1.2 | $ 1 | $ 0.9 |
Nonqualified Supplemental Deferred Compensation Plans [Member] | |||
Employee Retirement Plans [Line Items] | |||
Deferred Compensation Arrangement with Individual, Recorded Liability | 6.5 | 5.8 | |
Deferred Compensation Arrangement with Individual, Employer Contribution | $ 0.2 | 0.6 | $ 1.1 |
Post-retirement Health Benefit Plan [Member] | |||
Employee Retirement Plans [Line Items] | |||
Eligibility requirements, period of service | 10 years | ||
Accumulated benefit obligation | $ 1.9 | 2 | |
SERP [Member] | |||
Employee Retirement Plans [Line Items] | |||
Accumulated benefit obligation | $ 5.2 | $ 4.7 | |
Maximum [Member] | Post-retirement Health Benefit Plan [Member] | |||
Employee Retirement Plans [Line Items] | |||
Eligibility requirements, age of participants | 65 years | ||
Minimum [Member] | Post-retirement Health Benefit Plan [Member] | |||
Employee Retirement Plans [Line Items] | |||
Eligibility requirements, age of participants | 60 years |
Employee Retirement Plans (Sche
Employee Retirement Plans (Schedule of Amounts Recognized in Balance Sheet and Accumulated Other Comprehensive Income) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Defined Benefit Plan Disclosure [Line Items] | |||
Defined Benefit Plan, Net Periodic Benefit Cost | $ 1,200 | $ 953 | $ 960 |
Benefit Obligation | 8,549 | 9,020 | |
Unrealized actuarial gains (losses) in AOCI | (1,282) | (2,750) | |
SERP [Member] | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Benefit Obligation | 6,673 | 7,030 | |
Unrealized actuarial gains (losses) in AOCI | (1,799) | (3,123) | |
Post-retirement Health Benefit Plan | |||
Defined Benefit Plan Disclosure [Line Items] | |||
Benefit Obligation | 1,876 | 1,990 | |
Unrealized actuarial gains (losses) in AOCI | $ 517 | $ 373 |
Transactions with Related Pa101
Transactions with Related Parties (By Balance Sheet Grouping) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Related Party Transaction [Line Items] | ||||
Investments | $ 11,157,935 | $ 11,936,639 | ||
Advances | 74,504,776 | 63,408,355 | ||
MPF loans | 3,012,697 | 3,058,463 | ||
Capital stock | 3,539,648 | 3,040,976 | ||
Total MPF loan volume purchased | 463,969 | 375,214 | $ 464,699 | |
Principal Owner [Member] | ||||
Related Party Transaction [Line Items] | ||||
Investments | 176,345 | 157,025 | ||
Advances | 54,610,238 | 38,765,267 | ||
Letters of credit (1) | [1] | 8,245,423 | 9,608,983 | |
MPF loans | 1,052,569 | 1,326,807 | ||
Deposits | 24,636 | 13,678 | ||
Capital stock | 2,366,721 | 1,714,432 | ||
Total MPF loan volume purchased | $ 8,756 | $ 13,049 | $ 14,558 | |
[1] | Letters of credit are off-balance sheet commitments. |
Transactions with Related Pa102
Transactions with Related Parties (Statement of Income Effects) (Details) - USD ($) $ in Thousands | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Related Party Transaction [Line Items] | ||||
Interest income on advances (1) | $ 345,957 | $ 255,863 | $ 227,681 | |
Interest income on MPF loans | 120,433 | 129,399 | 141,699 | |
Letter of credit fees | 2,440 | 2,480 | 2,056 | |
Prepayment fees on advances, net | 3,599 | 16,956 | 2,306 | |
Net interest settlements on derivatives in fair value hedging relationships | 3,380 | (37,500) | 30,251 | |
Principal Owner [Member] | ||||
Related Party Transaction [Line Items] | ||||
Interest income on advances (1) | [1] | 200,743 | 138,121 | 131,092 |
Interest income on MPF loans | 64,002 | 80,674 | 101,353 | |
Prepayment fees on advances, net | 0 | 13,787 | 0 | |
Contractual interest income | 341,500 | 319,500 | 348,200 | |
Net interest settlements on derivatives in fair value hedging relationships | (139,800) | (177,800) | (214,300) | |
Amortization of basis adjustments | (900) | (3,600) | (2,800) | |
Standby Letters of Credit [Member] | Principal Owner [Member] | ||||
Related Party Transaction [Line Items] | ||||
Letter of credit fees | $ 10,796 | $ 8,481 | $ 1,609 | |
[1] | For 2015, 2014 and 2013, respectively, includes contractual interest income of $341.5 million, $319.5 million, and $348.2 million; net interest settlements on derivatives in fair value hedge relationships of $(139.8) million, $(177.8) million, and $(214.3) million; and total amortization of basis adjustments of $(0.9) million, $(3.6) million, and $(2.8) million. |
Transactions with Related Pa103
Transactions with Related Parties (Transactions with Other FHLBanks) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Related Party Transaction [Line Items] | |||
Bonds | $ 48,605,982 | $ 43,714,510 | |
FHLBank of Chicago [Member] | |||
Related Party Transaction [Line Items] | |||
Servicing fee expense | 1,147 | 994 | $ 916 |
Interest-bearing deposits maintained with FHLBank of Chicago | 6,075 | 6,782 | |
Bonds [Member] | |||
Related Party Transaction [Line Items] | |||
Par value of consolidated bonds | 48,515,658 | 43,602,100 | |
Bonds | $ 48,605,982 | 43,714,510 | |
Bonds [Member] | FHLBank of New York [Member] | |||
Related Party Transaction [Line Items] | |||
Par value of consolidated bonds | 59,000 | ||
Bonds | $ 65,600 |
Estimated Fair Values (Carrying
Estimated Fair Values (Carrying Value and Fair Value of Financial Instruments) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | Dec. 31, 2012 | |
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | $ 2,376,964 | $ 2,451,131 | |||
Trading securities | 394,737 | 281,016 | |||
AFS securities | 8,099,894 | 8,408,835 | |||
HTM Securities | 2,663,304 | 3,246,788 | |||
HTM securities - fair value | 2,684,071 | 3,286,547 | |||
Interest Receivable | 107,345 | 86,109 | |||
Derivative assets | 65,855 | 36,217 | |||
Netting adjustments: Derivative Assets | [1],[2] | (4,623) | (75,555) | ||
Mandatorily redeemable capital stock (1) | 6,053 | 586 | $ 40 | $ 431,566 | |
Accrued interest payable | 92,765 | 103,151 | |||
Derivative liabilities | 42,508 | 58,964 | |||
Netting adjustments: Derivative Liabilities | [1],[2] | (289,230) | (408,721) | ||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 2,376,964 | 2,451,131 | |||
Interest-bearing deposits | 6,075 | 6,782 | |||
Federal funds sold | 3,980,000 | 4,585,000 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 1,000,000 | ||||
Trading securities | 394,737 | 281,016 | |||
AFS securities | 8,099,894 | 8,408,835 | |||
HTM Securities | 2,663,304 | 3,246,788 | |||
Advances | 74,504,776 | 63,408,355 | |||
Interest Receivable | 107,345 | 86,109 | |||
Derivative assets | 65,855 | 36,217 | |||
Deposits | 685,937 | 641,180 | |||
Mandatorily redeemable capital stock (1) | [3] | 6,053 | 586 | ||
Accrued interest payable | [3] | 92,765 | 103,151 | ||
Derivative liabilities | 42,508 | 58,964 | |||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 42,276,815 | 37,058,118 | |||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 48,605,982 | 43,714,510 | |||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | Residential Portfolio Segment [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 3,086,855 | 3,123,334 | |||
Carrying (Reported) Amount, Fair Value Disclosure [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 11,276 | 11,567 | |||
Estimate of Fair Value Measurement [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 2,376,964 | 2,451,131 | |||
Interest-bearing deposits | 6,075 | 6,782 | |||
Federal funds sold | 3,979,884 | 4,584,981 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 999,984 | ||||
Trading securities | 394,737 | 281,016 | |||
AFS securities | 8,099,894 | 8,408,835 | |||
HTM securities - fair value | 2,684,071 | 3,286,547 | |||
Advances | 74,434,577 | 63,471,078 | |||
Interest Receivable | 107,345 | 86,109 | |||
Derivative assets | 65,855 | 36,217 | |||
Deposits | 685,951 | 641,183 | |||
Mandatorily redeemable capital stock (1) | 6,130 | 705 | |||
Accrued interest payable | 92,688 | 103,032 | |||
Derivative liabilities | 42,508 | 58,964 | |||
Estimate of Fair Value Measurement [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 42,269,700 | 37,059,347 | |||
Estimate of Fair Value Measurement [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 48,660,776 | 43,881,951 | |||
Estimate of Fair Value Measurement [Member] | Residential Portfolio Segment [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 3,219,846 | 3,312,186 | |||
Estimate of Fair Value Measurement [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 11,276 | 11,567 | |||
Fair Value, Inputs, Level 1 [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 2,376,964 | 2,451,131 | |||
Interest-bearing deposits | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 0 | ||||
Trading securities | 5,442 | 4,721 | |||
AFS securities | 1,998 | 1,998 | |||
HTM securities - fair value | 0 | 0 | |||
Advances | 0 | 0 | |||
Interest Receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock (1) | 6,130 | 705 | |||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | Residential Portfolio Segment [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 0 | 0 | |||
Fair Value, Inputs, Level 1 [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 0 | 0 | |||
Fair Value, Inputs, Level 2 [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 0 | 0 | |||
Interest-bearing deposits | 6,075 | 6,782 | |||
Federal funds sold | 3,979,884 | 4,584,981 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 999,984 | ||||
AFS securities | 7,265,988 | 7,424,055 | |||
HTM securities - fair value | 2,171,206 | 2,600,638 | |||
Advances | 74,434,577 | 63,471,078 | |||
Interest Receivable | 107,345 | 86,109 | |||
Derivative assets | 70,478 | 111,772 | |||
Deposits | 685,951 | 641,183 | |||
Mandatorily redeemable capital stock (1) | 0 | 0 | |||
Accrued interest payable | 92,688 | 103,032 | |||
Derivative liabilities | 331,738 | 467,685 | |||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 42,269,700 | 37,059,347 | |||
Fair Value, Inputs, Level 2 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 48,660,776 | 43,881,951 | |||
Fair Value, Inputs, Level 2 [Member] | Residential Portfolio Segment [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 3,219,846 | 3,312,186 | |||
Fair Value, Inputs, Level 2 [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Cash and Due from Banks | 0 | 0 | |||
Interest-bearing deposits | 0 | 0 | |||
Federal funds sold | 0 | 0 | |||
Securities Purchased under Agreements to Resell, Fair Value Disclosure | 0 | ||||
Trading securities | 0 | 0 | |||
AFS securities | 831,908 | 982,782 | |||
HTM securities - fair value | 512,865 | 685,909 | |||
Advances | 0 | 0 | |||
Interest Receivable | 0 | 0 | |||
Derivative assets | 0 | 0 | |||
Deposits | 0 | 0 | |||
Mandatorily redeemable capital stock (1) | 0 | 0 | |||
Accrued interest payable | 0 | 0 | |||
Derivative liabilities | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligations, Discount Notes [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Discount notes | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Consolidated Obligation Bonds [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Bonds | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | Residential Portfolio Segment [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | 0 | 0 | |||
Fair Value, Inputs, Level 3 [Member] | BOB loans [Member] | |||||
Fair Value, Balance Sheet Grouping, Financial Statement Captions [Line Items] | |||||
Loans | $ 11,276 | $ 11,567 | |||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $287.0 million and $345.0 million at December 31, 2015 and 2014. Cash collateral received was $2.4 million and $11.8 million at December 31, 2015 and 2014. | ||||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | ||||
[3] | The estimated fair value amount for the mandatorily redeemable capital stock line item includes accrued dividend interest; this amount is excluded from the estimated fair value for the accrued interest payable line item. |
Estimated Fair Values (Valuatio
Estimated Fair Values (Valuation Techniques) (Details) | Dec. 31, 2015vendor |
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis, Valuation Techniques [Line Items] | |
Fair Value Measurements, Valuation Techniques, Number of Designated Third Party Pricing Vendors | 4 |
Estimated Fair Values (Fair Val
Estimated Fair Values (Fair Value Measured on Recurring Basis) (Details) - USD ($) $ in Thousands | Dec. 31, 2015 | Dec. 31, 2014 | ||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | $ 394,737 | $ 281,016 | ||
AFS securities | 8,099,894 | 8,408,835 | ||
Derivative assets | 65,855 | 36,217 | ||
Netting adjustments: Derivative Assets | [1],[2] | (4,623) | (75,555) | |
Derivative liabilities | 42,508 | 58,964 | ||
Netting adjustments: Derivative Liabilities | [1],[2] | (289,230) | (408,721) | |
Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 394,737 | 281,016 | ||
AFS securities | 8,099,894 | 8,408,835 | ||
Derivative assets | 65,855 | 36,217 | ||
Derivative liabilities | 42,508 | 58,964 | ||
Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 5,442 | 4,721 | ||
AFS securities | 1,998 | 1,998 | ||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 7,265,988 | 7,424,055 | ||
Derivative assets | 70,478 | 111,772 | ||
Derivative liabilities | 331,738 | 467,685 | ||
Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
AFS securities | 831,908 | 982,782 | ||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | 0 | ||
Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Netting adjustments: Derivative Assets | [3] | (4,623) | (75,555) | |
Netting adjustments: Derivative Liabilities | [3],[4] | (289,230) | (408,721) | |
Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 394,737 | 281,016 | ||
AFS securities | 8,099,894 | 8,408,835 | ||
Derivative assets | 65,855 | 36,217 | ||
Total assets at fair value | 8,560,486 | 8,726,068 | ||
Derivative liabilities | 42,508 | 58,964 | ||
Total recurring liabilities at fair value (2) | 42,508 | 58,964 | [4] | |
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 5,442 | 4,721 | ||
AFS securities | 1,998 | 1,998 | ||
Derivative assets | 0 | 0 | ||
Total assets at fair value | 7,440 | 6,719 | ||
Total recurring liabilities at fair value (2) | 0 | |||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 389,295 | 276,295 | ||
AFS securities | 7,265,988 | 7,424,055 | ||
Derivative assets | 70,478 | 111,772 | ||
Total assets at fair value | 7,725,761 | 7,812,122 | ||
Total recurring liabilities at fair value (2) | 331,738 | 467,685 | ||
Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 831,908 | 982,782 | ||
Derivative assets | 0 | 0 | ||
Total assets at fair value | 831,908 | 982,782 | ||
Derivative liabilities | 0 | |||
Total recurring liabilities at fair value (2) | 0 | 0 | [4] | |
Fair Value, Measurements, Nonrecurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets at fair value | 40,469 | |||
Impaired mortgage loans held for portfolio (3) | 32,294 | |||
Real estate owned (3) | 8,175 | |||
Fair Value, Measurements, Nonrecurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Total assets at fair value | 40,469 | |||
Impaired mortgage loans held for portfolio (3) | 32,294 | |||
Real estate owned (3) | 8,175 | |||
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Netting adjustments: Derivative Assets | (4,623) | (75,555) | ||
Netting adjustments: Derivative Liabilities | (289,230) | (408,721) | ||
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 65,602 | 35,783 | ||
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | |||
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 70,225 | 111,338 | ||
Derivative liabilities | 331,738 | 467,685 | ||
Interest Rate Swaps | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 0 | 0 | ||
Derivative liabilities | 0 | |||
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Netting adjustments: Derivative Assets | 0 | 0 | ||
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 253 | 434 | ||
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 0 | 0 | ||
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 253 | 434 | ||
Forward Contracts [Member] | Mortgages [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Derivative assets | 0 | 0 | ||
GSE and TVA obligations [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 389,295 | 276,295 | ||
AFS securities | 3,469,205 | 3,233,703 | ||
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 389,295 | 276,295 | ||
AFS securities | 3,469,205 | 3,233,703 | ||
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 389,295 | 276,295 | ||
AFS securities | 3,469,205 | 3,233,703 | ||
GSE and TVA obligations [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | |||
Mutual Funds [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 5,442 | 4,721 | ||
AFS securities | 1,998 | 1,998 | ||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 5,442 | 4,721 | ||
AFS securities | 1,998 | 1,998 | ||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 5,442 | 4,721 | ||
AFS securities | 1,998 | 1,998 | ||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
Trading securities | 0 | 0 | ||
AFS securities | 0 | 0 | ||
Mutual Funds [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | |||
State or local agency [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 134,120 | 98,984 | ||
State or local agency [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 134,120 | 98,984 | ||
State or local agency [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
State or local agency [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 134,120 | 98,984 | ||
State or local agency [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | |||
Other US Obligations single family MBS [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 268,536 | 329,379 | ||
Other US Obligations single family MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 268,536 | 329,379 | ||
Other US Obligations single family MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | 0 | ||
Other US Obligations single family MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 268,536 | 329,379 | ||
Other US Obligations single family MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | |||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 2,383,630 | 2,882,162 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 2,383,630 | 2,882,162 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | |||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 2,383,630 | 2,882,162 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Single Family [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | |||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 1,010,497 | 879,827 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 1,010,497 | 879,827 | ||
Mortgage-backed Securities, Issued by US Government Sponsored Enterprises [Member] | Multifamily [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 1,010,497 | 879,827 | ||
Private label MBS [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 831,908 | 982,782 | ||
Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 822,740 | 971,083 | ||
Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 1 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | |||
Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | |||
Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 822,740 | 971,083 | ||
HELOC's [Member] | Fair Value, Measurements, Recurring [Member] | Estimate of Fair Value Measurement [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 9,168 | 11,699 | ||
HELOC's [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 2 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | 0 | |||
HELOC's [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | ||||
Fair Value, Assets and Liabilities Measured on Recurring and Nonrecurring Basis [Line Items] | ||||
AFS securities | $ 9,168 | $ 11,699 | ||
[1] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral and related accrued interest held or placed with the same clearing agent and/or counterparties. Cash collateral posted was $287.0 million and $345.0 million at December 31, 2015 and 2014. Cash collateral received was $2.4 million and $11.8 million at December 31, 2015 and 2014. | |||
[2] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | |||
[3] | Amounts represent the application of the netting requirements that allow the Bank to settle positive and negative positions and also cash collateral held or placed by the Bank with the same clearing agent and/or counterparties. | |||
[4] | Derivative liabilities represent the total liabilities at fair value. |
Estimated Fair Values (Level 3
Estimated Fair Values (Level 3 Reconciliation) (Details) - USD ($) | 12 Months Ended | |||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | ||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Net OTTI losses, credit portion | $ (55,000) | $ 0 | $ (442,000) | [1] |
Net Change in Fair Value of OTTI Securities | (20,325,000) | 16,809,000 | 58,201,000 | |
HELOC's [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance at January 1 | 11,699,000 | 14,428,000 | 14,758,000 | |
Accretion of credit losses in interest income | 1,382,000 | 1,415,000 | 873,000 | |
Net OTTI losses, credit portion | 0 | (97,000) | ||
Net unrealized (losses) on AFS in OCI | 0 | |||
Reclassification of non-credit portion included in net income | 97,000 | |||
Net Change in Fair Value of OTTI Securities | 0 | 109,000 | 326,000 | |
Unrealized (losses) on OTTI AFS in OCI | (859,000) | (402,000) | 2,228,000 | |
Purchases, issuances, sales, and settlements: | ||||
Settlements | (3,054,000) | (3,851,000) | (3,757,000) | |
Transfer of OTTI securities from HTM to AFS | 0 | |||
Balance at December 31 | 9,168,000 | 11,699,000 | 14,428,000 | |
Total amount of losses for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held | 1,382,000 | 1,415,000 | 776,000 | |
Residential Mortgage Backed Securities [Member] | Private label MBS [Member] | Fair Value, Measurements, Recurring [Member] | Fair Value, Inputs, Level 3 [Member] | Available-for-sale Securities [Member] | ||||
Fair Value, Assets Measured on Recurring Basis, Unobservable Input Reconciliation, Calculation [Roll Forward] | ||||
Balance at January 1 | 971,083,000 | 1,123,624,000 | 1,410,476,000 | |
Accretion of credit losses in interest income | 18,479,000 | 12,864,000 | (538,000) | |
Net OTTI losses, credit portion | (894,000) | (345,000) | ||
Net unrealized (losses) on AFS in OCI | (46,000) | (127,000) | 204,000 | |
Reclassification of non-credit portion included in net income | 509,000 | 345,000 | ||
Net Change in Fair Value of OTTI Securities | 1,185,000 | 2,804,000 | 25,073,000 | |
Unrealized (losses) on OTTI AFS in OCI | (20,651,000) | 14,298,000 | 30,574,000 | |
Purchases, issuances, sales, and settlements: | ||||
Settlements | (157,211,000) | (182,380,000) | (342,165,000) | |
Transfer of OTTI securities from HTM to AFS | 10,286,000 | 0 | ||
Balance at December 31 | 822,740,000 | 971,083,000 | 1,123,624,000 | |
Total amount of losses for the period presented included in earnings attributable to the change in unrealized gains or losses relating to assets and liabilities still held | $ 17,585,000 | $ 12,864,000 | $ (883,000) | |
[1] | For 2015, 2014 and 2013, additional OTTI credit losses for which an OTTI charge was previously recognized relates to all securities that were also previously impaired prior to January 1, 2015, 2014 and 2013, respectively. |
Commitments and Contingencie108
Commitments and Contingencies (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | ||
Loss Contingencies [Line Items] | |||
Other liabilities | $ 53,715 | $ 41,614 | |
Maximum Commitment Period | 45 days | ||
Open RepoPlus Advance Product [Member] | |||
Loss Contingencies [Line Items] | |||
Open Repo Plus, Remaining Borrowing Capacity | $ 7,400,000 | 7,400,000 | |
Maximum [Member] | |||
Loss Contingencies [Line Items] | |||
Standby Letters Of Credit, Original Terms | 5 years | ||
Standby Letters of Credit Issuance Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Off-balance sheet commitments | $ 136,400 | 146,800 | |
Standby Letters of Credit [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 20,171,604 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | [1],[2] | 20,171,604 | 19,942,125 |
Fair Value Disclosure, Off-balance Sheet Risks, Face Amount, Annual Renewal Option | 5,500,000 | ||
Other liabilities | 5,700 | 4,800 | |
Loan Origination Commitments [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 405,634 | ||
Expire After One Year | 75,000 | ||
Off-balance sheet commitments | 480,634 | 21,124 | |
Consolidated Obligations, Bonds [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 261,000 | ||
Off-balance sheet commitments | [3] | 261,000 | 95,530 |
Consolidated Obligations, Bonds [Member] | Interest Rate Swaps | |||
Loss Contingencies [Line Items] | |||
Off-balance sheet commitments | 115,000 | 83,100 | |
Consolidated Obligations, Discount Notes [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 0 | ||
Off-balance sheet commitments | 0 | 500,000 | |
Mortgages [Member] | Forward Contracts [Member] | |||
Loss Contingencies [Line Items] | |||
Expire Within One Year | 9,950 | ||
Expire After One Year | 0 | ||
Off-balance sheet commitments | $ 9,950 | $ 18,308 | |
[1] | $5.5 billion of these letters of credit have annual renewal language that, as long as both parties agree, permit the letter of credit to be renewed for an additional year with a maximum renewal period of 5 years. | ||
[2] | Excludes approved requests to issue future standby letters of credit of $136.4 million and $146.8 million at December 31, 2015 and 2014, respectively. | ||
[3] | Includes $115.0 million and $83.1 million of consolidated obligation bonds which were hedged with associated interest rate swaps at December 31, 2015 and 2014, respectively. |
Commitments and Contingencie109
Commitments and Contingencies (Lease Commitments) (Details) - USD ($) $ in Thousands | 12 Months Ended | ||
Dec. 31, 2015 | Dec. 31, 2014 | Dec. 31, 2013 | |
Operating Leased Assets [Line Items] | |||
Net rental costs | $ 2,100 | $ 2,100 | $ 2,100 |
2,016 | 2,017 | ||
2,017 | 1,975 | ||
2,018 | 1,849 | ||
2,019 | 1,829 | ||
2,020 | 1,861 | ||
Thereafter | 8,229 | ||
Total | $ 17,760 |